英文标题：
《The space of outcomes of semi-static trading strategies need not be
closed》
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作者：
Beatrice Acciaio, Martin Larsson, Walter Schachermayer
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最新提交年份：
2016
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英文摘要：
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.
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中文摘要：
半静态交易策略经常出现在数学金融中，在数学金融中，流动资产的动态交易与该资产期权的静态买入和持有头寸相结合。我们表明，当所有固定日期美元新台币的欧式期权都可用于静态交易时，此类策略的结果空间可能具有非常差的封闭性。这给最优投资带来了问题，与数学金融学中经典的纯动态案例形成了鲜明对比。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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