On Local Times of Ranked Continuous Semimartingales;Application to Portfolio Generating Functions
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References listed on IDEAS
- 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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KeywordsPortfolio-generating function; continuous semimartingale; local time; ranked processes;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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