发表机构
Miralta Finance Bank; University of Reading（米尔塔金融银行; 雷丁大学）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本研究探讨在重叠信息下，因果风险授权能否通过单一自融资组合实现，提出精确去中心化条件并推导最优分配，为连续市场中的风险管理提供理论框架。
AI 中文摘要
我们研究由重叠信息块构建的因果风险授权是否可以通过一个在汇总信息下最优的自融资投资组合来实现。在不完全的连续布朗市场中，信号响应敞口被投影到可交易的布朗方向上，并作为可预测希尔伯特空间的闭子空间嵌入。每个因果授权都是已识别、基线居中的干预曲面的可达投影，因此在分配器之前就已固定。第一个精确分解将非交易结构性响应、局部授权之间的不兼容性以及共同交易账簿的扭曲区分开来。融合算子纠正了共同风险方向的重复。主定理表明，精确的因果去中心化成立当且仅当汇总扩展保持参考鞅，汇总最优在加法交易台跨度之外没有分量，局部因果影子与一个共同账簿兼容，且该账簿等于加法汇总最优。在浸入条件下，对数增长遗憾分解为汇总交互损失和共同账簿扭曲，而原始因果实施误差还包含不可达性和不兼容性。没有共同基准可以减少不兼容性。我们在具有共享、交易台特定和汇总交互风险的双交易台模型中，推导出二次因果授权惩罚下的唯一分配和精确比较静态。额外结果涵盖联合干预、表示稳定性、可容许联盟以及协方差加权的连续半鞅公式。结论是连续市场的部分均衡陈述。
英文摘要
We study whether causal risk mandates constructed from overlapping information blocks can be implemented by one self-financing portfolio that is optimal under pooled information. In an incomplete continuous Brownian market, signal-responsive exposures are projected onto traded Brownian directions and embedded as closed subspaces of a predictable Hilbert space. Each causal mandate is the attainable projection of an identified, baseline-centered intervention surface and is therefore fixed upstream of the allocator. A first exact decomposition separates non-traded structural response, incompatibility across local mandates, and distortion of the common traded book. A fusion operator corrects duplication of common risk directions. The main theorem shows that exact causal decentralization holds if and only if the pooled enlargement preserves reference martingales, the pooled optimum has no component outside the additive desk span, the local causal shadows are compatible with one common book, and that book equals the additive pooled optimum. Under immersion, log-growth regret separates into pooled-interaction loss and common-book distortion, while raw causal implementation error also contains non-attainability and incompatibility. No common benchmark can reduce incompatibility. We derive the unique allocation under a quadratic causal-mandate penalty and exact comparative statics in a two-desk model with shared, desk-specific, and pooled-interaction risk. Additional results cover joint interventions, representation stability, admissible coalitions, and a covariance-weighted continuous-semimartingale formulation. The conclusions are partial-equilibrium statements for continuous markets.
Comments28 pages, 3 tables. Complementing earlier work on order-three obstructions to information aggregation (arXiv:2606.26835), this paper develops a framework for causal price-of-risk mandates under overlapping information, focusing on attainability, compatibility, overlap-corrected reconstruction, and implementation by a pooled-optimal self-financing portfolio
