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摘要翻译：
1999年，Robert Fernholz观察到一个等价鞅测度(EMM)存在的规范假设与股票市场多样性的经验现实之间的不一致。我们探索了一种通过一种与EMMS兼容的反垄断监管来将多样性强加于市场模型的方法。监管程序将变得太大的公司拆分，同时通过强制其他公司同时合并来保持公司总数不变。假设监管事件对投资组合价值没有影响。作为一个例子，监管被强加于一个市场模型，在这个模型中，多样性是通过最大公司的漂移中的一个对数杆来维持的。其结果是在保持市场多样性的同时，将套利机会从这个市场上移除。
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英文标题：
《Diversity and Arbitrage in a Regulatory Breakup Model》
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作者：
Winslow Strong and Jean-Pierre Fouque
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
In 1999 Robert Fernholz observed an inconsistency between the normative assumption of existence of an equivalent martingale measure (EMM) and the empirical reality of diversity in equity markets. We explore a method of imposing diversity on market models by a type of antitrust regulation that is compatible with EMMs. The regulatory procedure breaks up companies that become too large, while holding the total number of companies constant by imposing a simultaneous merge of other companies. The regulatory events are assumed to have no impact on portfolio values. As an example, regulation is imposed on a market model in which diversity is maintained via a log-pole in the drift of the largest company. The result is the removal of arbitrage opportunities from this market while maintaining the market's diversity.
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PDF链接：
https://arxiv.org/pdf/1003.5650
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