Timeline for Discrete self financing strategy
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
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| May 29, 2023 at 14:00 | comment | added | Kurt G. |
@Uhmm It would be a lot better if you used \tag{1} to number equations. The statemtent $$P_t = P_0 + \sum_{s=1}^tH_{s-1}(X_s-X_{s-1}) \quad \forall t=1, \dots,T$$ is an incorrect formulation of the self-financinng condition.
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| May 29, 2023 at 10:49 | history | edited | nbbo2 | CC BY-SA 4.0 |
[Edit removed during grace period]
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| May 29, 2023 at 9:18 | comment | added | Uhmm | @nbbo2 I am also confused about the statement I need to prove. It does not seem correct | |
| May 29, 2023 at 9:17 | comment | added | Uhmm | Thank you for your answer! So taking the sum yields $P_t=P_0+\sum_{s=1}^tH_s^\top(X_s-X_{s-1})$ which is the same as I got in my body above and not what I had to prove? Is the statement I need to prove incorrect? | |
| May 29, 2023 at 8:11 | comment | added | nbbo2 | It would appear then that the statement to be proved in the OP, with the summation, is not correct (typo in the $H$ subscript?). And the one proved instead at the end of the post was right? | |
| May 29, 2023 at 5:41 | history | edited | Kurt G. | CC BY-SA 4.0 |
updated
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| May 29, 2023 at 5:35 | history | answered | Kurt G. | CC BY-SA 4.0 |