On Local Times of Ranked Continuous Semimartingales
| dc.contributor.author | Ghomrasni, Raouf | |
| dc.date.accessioned | 2017-06-15T22:58:29Z | |
| dc.date.available | 2017-06-15T22:58:29Z | |
| dc.date.created | 2005-09-01 | |
| dc.date.issued | 2005-06-13 | |
| dc.identifier.issn | 1860-5664 | |
| dc.identifier.uri | http://edoc.hu-berlin.de/18452/4561 | |
| dc.description.abstract | 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. | eng |
| dc.language.iso | eng | |
| dc.publisher | Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät | |
| dc.subject | Portfolio-generating function | eng |
| dc.subject | continuous semimartingale | eng |
| dc.subject | local time | eng |
| dc.subject | ranked processes | eng |
| dc.subject.ddc | 330 Wirtschaft | |
| dc.title | On Local Times of Ranked Continuous Semimartingales | |
| dc.type | book | |
| dc.subtitle | Application to Portfolio Generating Functions | |
| dc.identifier.urn | urn:nbn:de:kobv:11-10045684 | |
| dc.identifier.doi | http://dx.doi.org/10.18452/3909 | |
| local.edoc.container-title | Sonderforschungsbereich 649: Ökonomisches Risiko | |
| local.edoc.pages | 13 | |
| local.edoc.type-name | Buch | |
| local.edoc.container-type | series | |
| local.edoc.container-type-name | Schriftenreihe | |
| local.edoc.container-volume | 2005 | |
| local.edoc.container-issue | 43 | |
| local.edoc.container-year | 2005 | |
| local.edoc.container-erstkatid | 2195055-6 |
