Browsing by Author "Ghomrasni, Raouf"
2005-06-13BuchOn Local Times of Ranked Continuous Semimartingales Application to Portfolio Generating FunctionsGhomrasni, RaoufWe 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.