On Local Times of Ranked Continuous Semimartingales;Application to Portfolio Generating Functions
We derive the decomposition of the ranked continuous semimartingales i.e. order-statistics processes. We apply it to portfolios generated by functions of the ranked market weights. Thus we generalize recent results of Fernholz.
|Date of creation:||Jun 2005|
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- Robert Fernholz, 2001. "Equity portfolios generated by functions of ranked market weights," Finance and Stochastics, Springer, vol. 5(4), pages 469-486.
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