Statistical Arbitrage with Default and Collateral

In this paper we study the implications of the absence of statistical arbitrage opportunities (SAO) in a two-period incomplete market economy where default is allowed but there are collateral requirements. We study the existence of state price deflators and the existence of a solution for the individual optimality problem, obtaining modified versions of the fundamental theorems of asset pricing. Then, we address the existence of equilibrium.

MoreLess

Year of publication:	2008
Authors:	Fajardo, José ; Lacerda, Ana
Institutions:	Banco de Portugal

More details

Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	D52 - Incomplete Markets ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008524229