Arbitrage conditions with no short selling
A key assumption to prove the Fundamental Theorem of Mathematical Finance is the possibility of short selling the risky assets of the market. In this article we exhibit a simple geometric condition to handle the arbitrage opportunities when short selling is not possible. Moreover, this approach prov...
- Autores:
-
Oleaga, Gerardo
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2012
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/73805
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/73805
http://bdigital.unal.edu.co/38282/
- Palabra clave:
- Fundamental Theorem of Asset Pricing
arbitrage conditions
short sales prohibition.
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional
| Summary: | A key assumption to prove the Fundamental Theorem of Mathematical Finance is the possibility of short selling the risky assets of the market. In this article we exhibit a simple geometric condition to handle the arbitrage opportunities when short selling is not possible. Moreover, this approach provides a pedagogical tool to visualize the consistency of the model when shorting is allowed for only some of the assets. Some examples are presented, both in analytical and graphical ways. |
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