Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25062 
Year of Publication: 
2005
Series/Report no.: 
SFB 649 Discussion Paper No. 2005,043
Publisher: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Abstract: 
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.
Subjects: 
Portfolio-generating function , continuous semimartingale , local time , ranked processes
Document Type: 
Working Paper

Files in This Item:
File
Size
349.88 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.