Target Weight Mechanism doesn't make delta hedge easier
Fuente:
arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2026
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| Subjects: | |
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| _version_ | 1866917417444179968 |
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| author | Jiang, Ruichao Wen, Long |
| author_facet | Jiang, Ruichao Wen, Long |
| contents | Chitra et al. (2025) claim that Target Weight Mechanism (TWM) in Perpetual Demand Lending Pools (PDLPs) can lower the delta of the portfolio under certain condition. We prove that their condition is self-contradictory. Furthermore, we prove an impossibility result that no TWM can lower the delta uniformly. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_16467 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Target Weight Mechanism doesn't make delta hedge easier Jiang, Ruichao Wen, Long Risk Management Computer Science and Game Theory Chitra et al. (2025) claim that Target Weight Mechanism (TWM) in Perpetual Demand Lending Pools (PDLPs) can lower the delta of the portfolio under certain condition. We prove that their condition is self-contradictory. Furthermore, we prove an impossibility result that no TWM can lower the delta uniformly. |
| title | Target Weight Mechanism doesn't make delta hedge easier |
| topic | Risk Management Computer Science and Game Theory |
| url | https://arxiv.org/abs/2604.16467 |