Arbitrage conditions with no short selling
Fecha de creación
2012Autor
Resumen
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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Colecciones
- Boletín de Matemáticas [688]