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Browsing by Author "Ghomrasni, Raouf"

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    • 2005-06-13Buch
      On Local Times of Ranked Continuous Semimartingales 
      Application to Portfolio Generating Functions
      Ghomrasni, Raouf
      We derive the decomposition of the ranked continuous semimartingales i.e. orderstatistics processes. We apply it to portfolios generated by functions of the ranked market weights. Thus we generalize recent results of Fernholz.
      DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
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