Margins on short sales and equilibrium price indeterminacy

DOI10.1016/j.jmateco.2017.11.003zbMath1388.91140OpenAlexW2775030673MaRDI QIDQ684171

Jianqiang Hu, Chenghu Ma, Yi-Fan 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

Slutsky effectderivative tradingendogenous price indeterminacyheterogeneous beliefmargin for short selling

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Asynchronous Algorithms for Computing Equilibrium Prices in a Capital Asset Pricing Model

Cites Work

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• Existence of equilibrium in CAPM
• Equilibrium in economies with incomplete financial markets
• Infinite dimensional analysis. A hitchhiker's guide
• Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
• Existence Theorems in the Capital Asset Pricing Model

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