A General Theorem For Portfolio Generating Functions

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Porostad, Zohreh | 2014

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 46182 (02)
University: Sharif University of Technology
Department: Mathematical Sciences
Advisor(s): Farhadi, Hamidreza
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
Keywords:
Gini Coefficient ; Portfolio Generating Function ; Local Time ; Semimartingal