Local times of ranked continuous semimartingales

Adrian D. Banner and Raouf Ghomrasni

Stochastic Processes and their Applications, 2008, vol. 118, issue 7, 1244-1253

Abstract: Given a finite collection of continuous semimartingales, we derive a semimartingale decomposition of the corresponding ranked (order-statistics) processes. We apply the decomposition to extend the theory of equity portfolios generated by ranked market weights to the case where the stock values admit triple points.

Keywords: Portfolios; Portfolio; generating; functions; Continuous; semimartingales; Order; statistics; Local; times (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (31)

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