Investment and Arbitrage Opportunities with Short Sales Constraints

Laurence Carassus and Elyès Jouini ()

Mathematical Finance, 1998, vol. 8, issue 3, 169-178

Abstract: 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.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/1467-9965.00051

Related works:
Working Paper: Investment and arbitrage opportunities with short sales constraints (1998)
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:mathfi:v:8:y:1998:i:3:p:169-178

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0960-1627

Access Statistics for this article

Mathematical Finance is currently edited by Jerome Detemple

More articles in Mathematical Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().