Margins on short sales and equilibrium price indeterminacy

DOI10.1016/J.JMATECO.2017.11.003MaRDI QIDQ684171zbMATH OpenOpenAlexFDO

Authors Chenghu Ma, Jianqiang Hu, Yifan Xu

Publication date 9 February 2018

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmateco.2017.11.003

zbMATH Keywords

derivative tradingendogenous price indeterminacyheterogeneous beliefmargin for short sellingSlutsky effect

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Equilibrium in economies with incomplete financial markets
• Existence of equilibrium in CAPM
• Existence Theorems in the Capital Asset Pricing Model
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
• scientific article; zbMATH DE number 439380 (Why is no real title available?)
• scientific article; zbMATH DE number 4081235 (Why is no real title available?)
• Infinite dimensional analysis. A hitchhiker's guide

Cited in

(6)

• MARGIN TRADING THROUGH HYPER TIMELINE
• Why can margin requirements increase volatility and benefit margin constrained investors?
• How do short-sale costs affect put options trading? Evidence from separating hedging and speculative shorting demands
• Short communication: clearing prices under margin calls and the short squeeze
• Short selling with margin risk and recall risk
• Asynchronous algorithms for computing equilibrium prices in a capital asset pricing model

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