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2005-06-13Buch DOI: 10.18452/3909
On Local Times of Ranked Continuous Semimartingales
dc.contributor.authorGhomrasni, Raouf
dc.date.accessioned2017-06-15T22:58:29Z
dc.date.available2017-06-15T22:58:29Z
dc.date.created2005-09-01
dc.date.issued2005-06-13
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4561
dc.description.abstractWe 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.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectPortfolio-generating functioneng
dc.subjectcontinuous semimartingaleeng
dc.subjectlocal timeeng
dc.subjectranked processeseng
dc.subject.ddc330 Wirtschaft
dc.titleOn Local Times of Ranked Continuous Semimartingales
dc.typebook
dc.subtitleApplication to Portfolio Generating Functions
dc.identifier.urnurn:nbn:de:kobv:11-10045684
dc.identifier.doihttp://dx.doi.org/10.18452/3909
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages13
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2005
local.edoc.container-issue43
local.edoc.container-year2005
local.edoc.container-erstkatid2195055-6

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