On Local Times of Ranked Continuous Semimartingales
Application to Portfolio Generating Functions
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.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 43, SFB 649 Papers, ISSN:1860-5664
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