ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS

DOI10.1111/j.1467-9965.1995.tb00065.xzbMath0866.90032OpenAlexW1964600040MaRDI QIDQ3126234

Publication date: 23 March 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00065.x

zbMATH Keywords

supermartingales absence of arbitrage optimal hedging strategies securities markets models

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items

A dynamic maximum principle for the optimization of recursive utilities under constraints. ⋮ Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints. ⋮ Fuzzy measures and asset prices: accounting for information ambiguity ⋮ Liquidity and credit risk ⋮ Robust pricing and hedging under trading restrictions and the emergence of local martingale models ⋮ Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations ⋮ Market consistent valuations with financial imperfection ⋮ Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs ⋮ Endogenous collateral ⋮ Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates ⋮ Informational Efficiency under Short Sale Constraints ⋮ Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations ⋮ Actuarial bridges to dynamic hedging and option pricing ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ Good deals and compatible modification of risk and pricing rule: a regulatory treatment ⋮ The Dalang-Morton-Willinger theorem under cone constraints. ⋮ Exploiting arbitrage requires short selling ⋮ Minimal supersolutions of convex BSDEs under constraints ⋮ Fiat money and the value of binding portfolio constraints ⋮ Dual representation of superhedging costs in illiquid markets ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Capital Growth and Survival Strategies in a Market with Endogenous Prices ⋮ INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH ⋮ A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions ⋮ A revised option pricing formula with the underlying being banned from short selling ⋮ Convex duality in optimal investment under illiquidity ⋮ Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model ⋮ Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices ⋮ Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk ⋮ Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Recursive utility optimization with concave coefficients ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Arbitrage and control problems in finance. A presentation ⋮ Arbitrage and viability in securities markets with fixed trading costs ⋮ Special issue: Arbitrage and control problems in finance ⋮ The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads ⋮ Probabilistic methods for semilinear partial differential equations. Applications to finance ⋮ On utility maximization in discrete-time financial market models ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions ⋮ No arbitrage and closure results for trading cones with transaction costs ⋮ Introduction to convex optimization in financial markets ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Fuzzy options with application to default risk analysis for municipal bonds in China ⋮ Stochastic ordering by \(g\)-expectations ⋮ Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility ⋮ Dominated families of martingale, supermartingale and quasimartingale laws ⋮ Sublinear price functionals under portfolio constraints ⋮ Transaction costs and a redundant security: Divergence of individual and social relevance ⋮ THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS ⋮ Computation of distorted probabilities for diffusion processes via stochastic control methods. ⋮ The fundamental theorem of asset pricing with cone constraints ⋮ The multi-dimensional super-replication problem under gamma constraints ⋮ Price functionals with bid-ask spreads: An axiomatic approach ⋮ Asset pricing under progressive taxes and existence of general equilibrium ⋮ Model-independent superhedging under portfolio constraints ⋮ Superreplication when trading at market indifference prices

Cites Work