Investment and arbitrage opportunities with short sales constraints
Jouini, Elyès; Carassus, Laurence (1998), Investment and arbitrage opportunities with short sales constraints, Mathematical Finance, 8, 3, p. 169–178. http://dx.doi.org/10.1111/1467-9965.00051
TypeArticle accepté pour publication ou publié
Journal nameMathematical Finance
Oxford Blackwell Publishers
MetadataShow full item record
Abstract (EN)In this paper we consider a family of investment projects defined by their deterministic cash flows. We assume stationarity—that is, projects available today are the same as those available in the past. In this framework, we prove that the absence of arbitrage opportunities is equivalent to the existence of a discount rate such that the net present value of all projects is nonpositive if the projects cannot be sold short and is equal to zero otherwise. Our result allows for an infinite number of projects and for continuous as well as discrete cash flows, generalizing similar results established by Cantor and Lippman (1983, 1995) and Adler and Gale (1997) in a discrete time framework and for a finite number of projects.
Subjects / KeywordsInvestment; short sales constraint; stationarity; arbitrage; Radon measure; Laplace transform
Showing items related by title and author.