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dc.contributor.authorJouini, Elyès
HAL ID: 6654
dc.contributor.authorCarassus, Laurence
dc.date.accessioned2011-01-31T15:56:03Z
dc.date.available2011-01-31T15:56:03Z
dc.date.issued1998-07
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5604
dc.language.isoenen
dc.subjectInvestmenten
dc.subjectshort sales constrainten
dc.subjectstationarityen
dc.subjectarbitrageen
dc.subjectRadon measureen
dc.subjectLaplace transformen
dc.subject.ddc332en
dc.subject.classificationjelE44en
dc.subject.classificationjelG11en
dc.titleInvestment and arbitrage opportunities with short sales constraintsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité de Paris 1 Panthéone Sorbonne;France
dc.description.abstractenIn 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.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol8en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate1998-07
dc.relation.isversionofjnlpages169–178en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/1467-9965.00051en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherOxford Blackwell Publishersen
dc.subject.ddclabelEconomie financièreen


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