Spanning with Short-Selling Restrictions

Martin Raab and Robert Schwager

Journal of Finance, 1993, vol. 48, issue 2, 791-93

Abstract: In principle, the set of attainable payoff vectors is reduced if assets cannot be sold short. However, the authors show that the original space of payoff vectors is spanned despite short sale restrictions if there is one additional asset whose payoff is a positively weighted sum of the payoffs of the original assets. For example, this condition is automatically fulfilled if the original assets are stocks and the additional asset is an index future consisting of these stocks. Copyright 1993 by American Finance Association.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819930 ... O%3B2-8&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:48:y:1993:i:2:p:791-93

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().