• Title of article

    Local times of ranked continuous semimartingales

  • Author/Authors

    Banner، نويسنده , , Adrian D. and Ghomrasni، نويسنده , , Raouf، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2008
  • Pages
    10
  • From page
    1244
  • To page
    1253
  • Abstract
    Given a finite collection of continuous semimartingales, we derive a semimartingale decomposition of the corresponding ranked (order-statistics) processes. We apply the decomposition to extend the theory of equity portfolios generated by ranked market weights to the case where the stock values admit triple points.
  • Keywords
    Portfolio generating functions , portfolios , Order statistics , Continuous semimartingales , local times
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2008
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1577998

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1577998