Informational Efficiency with Trading Constraints: A Characterization

DOI10.1137/20M1318948zbMath1461.91301MaRDI QIDQ5144180

Martin Larsson, Robert A. Jarrow

Publication date: 15 January 2021

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

zbMATH Keywords

no arbitrageequilibriuminformational efficiencylocal martingalestrading constraintsrepresentative agentsno dominancemartingales measures

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial markets (91G15)

Related Items

Concavity, stochastic utility, and risk aversion

Cites Work

• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• On aggregation and representative agent equilibria
• Continuous-time asset pricing theory. A martingale-based approach
• The Lucas Orchard
• Informational Efficiency under Short Sale Constraints
• Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
• THE MEANING OF MARKET EFFICIENCY
• Competitive Equilibrium Under Uncertainty