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A General Theorem For Portfolio Generating Functions
, M.Sc. Thesis Sharif University of Technology ; 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