Resource title

On local times of ranked continuous semimartingales: application to portfolio generating functions

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Resource description

We derive the decomposition of the ranked continuous semimartingales i.e. order- statistics processes. We apply it to portfolios generated by functions of the ranked market weights. Thus we generalize recent results of Fernholz.

Resource author

Raouf Ghomrasni

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25062

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Adapt according to the presented license agreement and reference the original author.