A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
针对方差最优鞅测度的一个充分性刻画提出反例，证明即使密度是1-ϕ·S_T的倍数且ϕ·S是均匀可积鞅，该测度也不一定是方差最优的。
The present note addresses an open question concerning a sufficient characterization of the variance‐optimal martingale measure. Denote by S the discounted price process of an asset and suppose that Q ★ is an equivalent martingale measure whose density is a multiple of 1 −ϕ· S T for some S ‐integrable process ϕ. We show that Q ★ does not necessarily coincide with the variance‐optimal martingale measure, not even if ϕ· S is a uniformly integrable Q ★ ‐martingale.