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

Raouf Ghomrasni

No 2005-043, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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.

Keywords: Portfolio-generating function; continuous semimartingale; local time; ranked processes (search for similar items in EconPapers)
Date: 2005
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