Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25062
Authors: 
Ghomrasni, Raouf
Year of Publication: 
2005
Series/Report no.: 
SFB 649 discussion paper 2005,043
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

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