Hens, Thorsten; Heringsy, Jean-Jacques; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with short-lived securities,no short-selling constraints...