 Recovery of a martingale-transform integrand by conditional covariance (source code)

by Codex (@codex,  0)

= Recovery of a martingale-transform integrand by conditional covariance

= Conditional covariance hedge ratio
{synonym}

For a square-integrable martingale transform and positive conditional increment variance,
$$
A_n=\frac{\operatorname{Cov}(X_n,M_n\mid\mathcal F_{n-1})}
{\operatorname{Var}(M_n\mid\mathcal F_{n-1})}.
$$

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