The space of outcomes of semi-static trading strategies need not be closed
نویسندگان
چکیده
Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-and-hold positions in options on that asset. We show that the space of outcomes of such strategies can have very poor closure properties when all European options for a fixed date T are available for static trading. This causes problems for optimal investment, and stands in sharp contrast to the purely dynamic case classically considered in mathematical finance.
منابع مشابه
The effect of proportional of open space to semi-open space in better use of climatic conditions in houses in coastal and foothill areas of East Gilan
Having a mild and humid climate, Gilan province is closer to the comfort zone than other regions of Iran. In addition, the use of radiation, wind, precipitation and humidity components in the spatial organization of native houses has led to the formation of a semi-open space next to the closed space. In general, the placement of spaces in this climate is such that there is no clear border betwe...
متن کاملExistence Results of best Proximity Pairs for a Certain Class of Noncyclic Mappings in Nonreflexive Banach Spaces Polynomials
Introduction Let be a nonempty subset of a normed linear space . A self-mapping is said to be nonexpansive provided that for all . In 1965, Browder showed that every nonexpansive self-mapping defined on a nonempty, bounded, closed and convex subset of a uniformly convex Banach space , has a fixed point. In the same year, Kirk generalized this existence result by using a geometric notion of ...
متن کاملStudying the Monthly Effect on the Market Reactions Using Time-Space -Frequency Analysis (Case Study: Tehran Stock Exchange)
Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...
متن کاملEffect of Soft Knee Support on Dynamic and Static Balance in the Male Elderly
Objectives: Joint supporters can caused increasing proprioceptive information. Such proprioceptive information is needed for balance. The purpose of this study was to determine the effect of soft knee support on static and dynamic balance tests in male elderly (65 years and older). Methods & Materials: Via a randomized clinical trial study design, 22 elderly were selected and divided into tw...
متن کاملProfitability of Momentum and Contrarian Strategies Based on Trading Volume in Tehran Stock Exchange: A Comparison of Emerging Market
In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on Jegadeesh and Titman approach.The...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Finance and Stochastics
دوره 21 شماره
صفحات -
تاریخ انتشار 2017