Stratonovich representation of semimartingale rank processes

Robert Fernholz

Papers from arXiv.org

Abstract: Suppose that $X_1, \ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation can be used to decompose the relative log-return of portfolios generated by functions of ranked market weights.

Date: 2017-04
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