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...

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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
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oai_identifier_str oai:repositorio.unal.edu.co:unal/73805
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repository_id_str
spelling Atribución-NoComercial 4.0 InternacionalDerechos reservados - Universidad Nacional de Colombiahttp://creativecommons.org/licenses/by-nc/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Oleaga, Gerardo41a44303-a8d4-4ca7-8f9b-0603874898533002019-07-03T16:52:03Z2019-07-03T16:52:03Z2012https://repositorio.unal.edu.co/handle/unal/73805http://bdigital.unal.edu.co/38282/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.application/pdfspaBoletín de Matemáticashttp://revistas.unal.edu.co/index.php/bolma/article/view/40842Universidad Nacional de Colombia Revistas electrónicas UN Boletín de MatemáticasBoletín de MatemáticasBoletín de Matemáticas; Vol. 19, núm. 1 (2012); 37-54 Boletín de Matemáticas; Vol. 19, núm. 1 (2012); 37-54 2357-6529 0120-0380Oleaga, Gerardo (2012) Arbitrage conditions with no short selling. Boletín de Matemáticas; Vol. 19, núm. 1 (2012); 37-54 Boletín de Matemáticas; Vol. 19, núm. 1 (2012); 37-54 2357-6529 0120-0380 .Arbitrage conditions with no short sellingArtículo de revistainfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/ARTFundamental Theorem of Asset Pricingarbitrage conditionsshort sales prohibition.ORIGINAL40842-183886-1-PB.pdfapplication/pdf103236https://repositorio.unal.edu.co/bitstream/unal/73805/1/40842-183886-1-PB.pdf869989577752fee6e36bf5dd221dd008MD51THUMBNAIL40842-183886-1-PB.pdf.jpg40842-183886-1-PB.pdf.jpgGenerated Thumbnailimage/jpeg5150https://repositorio.unal.edu.co/bitstream/unal/73805/2/40842-183886-1-PB.pdf.jpg9dfefae362f89cd82015ef62ec391e48MD52unal/73805oai:repositorio.unal.edu.co:unal/738052023-06-30 23:03:48.48Repositorio Institucional Universidad Nacional de Colombiarepositorio_nal@unal.edu.co
dc.title.spa.fl_str_mv Arbitrage conditions with no short selling
title Arbitrage conditions with no short selling
spellingShingle Arbitrage conditions with no short selling
Fundamental Theorem of Asset Pricing
arbitrage conditions
short sales prohibition.
title_short Arbitrage conditions with no short selling
title_full Arbitrage conditions with no short selling
title_fullStr Arbitrage conditions with no short selling
title_full_unstemmed Arbitrage conditions with no short selling
title_sort Arbitrage conditions with no short selling
dc.creator.fl_str_mv Oleaga, Gerardo
dc.contributor.author.spa.fl_str_mv Oleaga, Gerardo
dc.subject.proposal.spa.fl_str_mv Fundamental Theorem of Asset Pricing
arbitrage conditions
short sales prohibition.
topic Fundamental Theorem of Asset Pricing
arbitrage conditions
short sales prohibition.
description 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.
publishDate 2012
dc.date.issued.spa.fl_str_mv 2012
dc.date.accessioned.spa.fl_str_mv 2019-07-03T16:52:03Z
dc.date.available.spa.fl_str_mv 2019-07-03T16:52:03Z
dc.type.spa.fl_str_mv Artículo de revista
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.spa.fl_str_mv info:eu-repo/semantics/article
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dc.type.content.spa.fl_str_mv Text
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format http://purl.org/coar/resource_type/c_6501
status_str publishedVersion
dc.identifier.uri.none.fl_str_mv https://repositorio.unal.edu.co/handle/unal/73805
dc.identifier.eprints.spa.fl_str_mv http://bdigital.unal.edu.co/38282/
url https://repositorio.unal.edu.co/handle/unal/73805
http://bdigital.unal.edu.co/38282/
dc.language.iso.spa.fl_str_mv spa
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dc.relation.spa.fl_str_mv http://revistas.unal.edu.co/index.php/bolma/article/view/40842
dc.relation.ispartof.spa.fl_str_mv Universidad Nacional de Colombia Revistas electrónicas UN Boletín de Matemáticas
Boletín de Matemáticas
dc.relation.ispartofseries.none.fl_str_mv Boletín de Matemáticas; Vol. 19, núm. 1 (2012); 37-54 Boletín de Matemáticas; Vol. 19, núm. 1 (2012); 37-54 2357-6529 0120-0380
dc.relation.references.spa.fl_str_mv Oleaga, Gerardo (2012) Arbitrage conditions with no short selling. Boletín de Matemáticas; Vol. 19, núm. 1 (2012); 37-54 Boletín de Matemáticas; Vol. 19, núm. 1 (2012); 37-54 2357-6529 0120-0380 .
dc.rights.spa.fl_str_mv Derechos reservados - Universidad Nacional de Colombia
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dc.rights.license.spa.fl_str_mv Atribución-NoComercial 4.0 Internacional
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dc.rights.accessrights.spa.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv Atribución-NoComercial 4.0 Internacional
Derechos reservados - Universidad Nacional de Colombia
http://creativecommons.org/licenses/by-nc/4.0/
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
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dc.publisher.spa.fl_str_mv Boletín de Matemáticas
institution Universidad Nacional de Colombia
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