Informational Efficiency under Short Sale Constraints

DOI10.1137/140963522zbMath1338.91089arXiv1401.1851OpenAlexW3125594760MaRDI QIDQ3195107

Martin Larsson, Robert A. Jarrow

Publication date: 21 October 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.1851

zbMATH Keywords

supermartingalesno arbitrageequilibriuminformational efficiencylocal martingalesshort salesrepresentative agentsno dominancelocal martingale deflatorsmartingales measures

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) General equilibrium theory (91B50) Heterogeneous agent models (91B69)

Related Items (4)

Exploiting arbitrage requires short selling ⋮ Informational Efficiency with Trading Constraints: A Characterization ⋮ Concavity, stochastic utility, and risk aversion ⋮ PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE

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