Spanning with Short-Selling Restrictions.
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.
Year of publication: |
1993
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Authors: | Raab, Martin ; Schwager, Robert |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 48.1993, 2, p. 791-93
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Publisher: |
American Finance Association - AFA |
Saved in:
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