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title: The Unified Model author: Keith A. Lewis institute: KALX, LLC classoption: fleqn fleqn: true abstract: Basic model. ...

\newcommand{\Var}{\operatorname{Var}} \newcommand{\cone}{\operatorname{cone}} \newcommand{\RR}{𝑹} \renewcommand{\AA}{\mathcal{A}}

One component missing from many mathematial finance models is an indication of who owns an instrument.

A holding is an amount, intrument, and entity. The triple $(a,i,e)$ indicates legal entity $e$ owns amount $a$ of instrument $i$.