This note points out the differences between conducting several projects within one big firm (common ownership) and conducting each project within an independent firm (separate ownership).

This note points out the differences between conducting several projects within one big firm (common ownership) and conducting each project within an independent firm (separate ownership).

Let S=(S_t), t=0,1,...,T (T being finite), be an adapted R^d-valued process. Each component process of S might be interpreted as the price process of a certain security. A trading strategy H=(H_t), t= 1,...,T, is a predictable R^d-valued process. A strategy H is called extreme if it represents a...