2022/04/26 by Marcel Nutz, Johannes Wiesel, Nutz, Marcel +3
Economics, Econometrics and Finance · #26B40 #60H05 #91G10 #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2204.12251
openalex publication_date 2022/04/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.