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On local times of ranked continuous semimartingales: Application to portfolio generating functions

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  • Ghomrasni, Raouf

Abstract

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.

Suggested Citation

  • Ghomrasni, Raouf, 2005. "On local times of ranked continuous semimartingales: Application to portfolio generating functions," SFB 649 Discussion Papers 2005-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2005-043
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    References listed on IDEAS

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    1. 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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    More about this item

    Keywords

    Portfolio-generating function ; continuous semimartingale ; local time ; ranked processes;
    All these keywords.

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