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    A General Theorem For Portfolio Generating Functions

    , M.Sc. Thesis Sharif University of Technology Porostad, Zohreh (Author) ; Farhadi, Hamidreza (Supervisor)
    Abstract
    Portfolio generating functions are positive twice continuously differentiable functions of the common or ranked market weights. The return on such portfolios related to the market with a stochastic differential equation that has two components: the logarithmic change in the value of the generating function, and a drift process that is of bounded variation. The goal of this study is to generalized portfolio generating functions theorem for ’ functions, in order to cover some important functions in economic such as Gini coefficients