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Limits of Semistatic Trading Strategies
We show that pointwise limits of semistatic trading strategies in discrete time are again semistatic strategies.
Martingale Schrödinger Bridges and Optimal Semistatic Portfolios
In a two-period financial market where a stock is traded dynamically and European options at maturity are traded statically, we study the so-called martingale Schr\"odinger bridge Q*; that is, the minimal-entropy martingale measure among all models calibrated to option prices.
Distributionally robust portfolio maximisation and marginal utility pricing in one period financial markets
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty.
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