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- W3122610712 abstract "Suppose that $X_1, ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation can be used to decompose the relative log-return of portfolios generated by functions of ranked market weights." @default.
- W3122610712 created "2021-02-01" @default.
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- W3122610712 date "2017-04-01" @default.
- W3122610712 modified "2023-09-27" @default.
- W3122610712 title "Stratonovich representation of semimartingale rank processes" @default.
- W3122610712 hasPublicationYear "2017" @default.
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