论文标题
半岛交易策略的限制
Limits of Semistatic Trading Strategies
论文作者
论文摘要
我们表明，在离散时间中，半明上交易策略的重点限制再次是半上一策略。该分析是针对两期模型进行的，并且在多周期，多股票模型的概率条件下进行。我们的结果与Acciaio，Larsson和Schachermayer的反例相反，并表明它们的观察是由于令人兴奋的，而不是半上隔形式的不稳定性。从数学上讲，我们的结果与SchrödingerBridges中研究的功能的可分解性有关。
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies. The analysis is carried out in full generality for a two-period model, and under a probabilistic condition for multi-period, multi-stock models. Our result contrasts with a counterexample of Acciaio, Larsson and Schachermayer, and shows that their observation is due to a failure of integrability rather than instability of the semistatic form. Mathematically, our results relate to the decomposability of functions as studied in the context of Schrödinger bridges.
