Publicado
2012-01-01
Arbitrage conditions with no short selling
Palabras clave:
Fundamental Theorem of Asset Pricing, arbitrage conditions, short sales prohibition. (es)Descargas
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.
Cómo citar
APA
Oleaga, G. (2012). Arbitrage conditions with no short selling. Boletín de Matemáticas, 19(1), 37–54. https://revistas.unal.edu.co/index.php/bolma/article/view/40842
ACM
[1]
Oleaga, G. 2012. Arbitrage conditions with no short selling. Boletín de Matemáticas. 19, 1 (ene. 2012), 37–54.
ACS
(1)
Oleaga, G. Arbitrage conditions with no short selling. Bol. Mat. 2012, 19, 37-54.
ABNT
OLEAGA, G. Arbitrage conditions with no short selling. Boletín de Matemáticas, [S. l.], v. 19, n. 1, p. 37–54, 2012. Disponível em: https://revistas.unal.edu.co/index.php/bolma/article/view/40842. Acesso em: 24 abr. 2024.
Chicago
Oleaga, Gerardo. 2012. «Arbitrage conditions with no short selling». Boletín De Matemáticas 19 (1):37-54. https://revistas.unal.edu.co/index.php/bolma/article/view/40842.
Harvard
Oleaga, G. (2012) «Arbitrage conditions with no short selling», Boletín de Matemáticas, 19(1), pp. 37–54. Disponible en: https://revistas.unal.edu.co/index.php/bolma/article/view/40842 (Accedido: 24 abril 2024).
IEEE
[1]
G. Oleaga, «Arbitrage conditions with no short selling», Bol. Mat., vol. 19, n.º 1, pp. 37–54, ene. 2012.
MLA
Oleaga, G. «Arbitrage conditions with no short selling». Boletín de Matemáticas, vol. 19, n.º 1, enero de 2012, pp. 37-54, https://revistas.unal.edu.co/index.php/bolma/article/view/40842.
Turabian
Oleaga, Gerardo. «Arbitrage conditions with no short selling». Boletín de Matemáticas 19, no. 1 (enero 1, 2012): 37–54. Accedido abril 24, 2024. https://revistas.unal.edu.co/index.php/bolma/article/view/40842.
Vancouver
1.
Oleaga G. Arbitrage conditions with no short selling. Bol. Mat. [Internet]. 1 de enero de 2012 [citado 24 de abril de 2024];19(1):37-54. Disponible en: https://revistas.unal.edu.co/index.php/bolma/article/view/40842
Descargar cita
Visitas a la página del resumen del artículo
146
Descargas
Los datos de descargas todavía no están disponibles.
Licencia
Derechos de autor 2012 Boletín de Matemáticas
Esta obra está bajo una licencia internacional Creative Commons Atribución 4.0.