| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156996 | Stochastic Processes and their Applications | 2008 | 10 Pages |
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.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Adrian D. Banner, Raouf Ghomrasni,