Search Results - subject:"Short sale constraint"

An Economic Measure of Diversification Benefits

Li, Lingfeng - School of Management, Yale University - 2003

In this paper, we develop a utility based economic measure for diversification benefits, calculated as the maximum premium that an investor is willing to pay for holding a more diversified portfolio. The utility based economic measure allows one to evaluate the expansion of the investment...

Persistent link: https://www.econbiz.de/10005586985

Complete and Incomplete Markets with Short-Sale Constraints

Giménez, Eduardo L. - 2001

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard …. Beyond a particular level of the short-sale bound financial marketsare complete, since the short-sale constraint is not …

Persistent link: https://www.econbiz.de/10010324858

Complete and Incomplete Markets with Short-Sale Constraints

Giménez, Eduardo L. - Tinbergen Instituut - 2001

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard …. Beyond a particular level of the short-sale bound financial marketsare "complete", since the short-sale constraint is not …

Persistent link: https://www.econbiz.de/10011256992

Complete and Incomplete Markets with Short-Sale Constraints

Giménez, Eduardo L. - Tinbergen Institute - 2001

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner framework invalidates standard … markets. Beyond a particular level of the short-sale bound financial markets are "complete", since the short-sale constraint …

Persistent link: https://www.econbiz.de/10005137116

Complete and incomplete markets with short-sale constraints

Giménez, Eduardo L. - 2001

Persistent link: https://www.econbiz.de/10011316880

Complete and incomplete markets with short-sale constraints

Giménez, Eduardo L. - In: Economic Theory 21 (2003) 1, pp. 195-204

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner framework invalidates standard … particular level of the short-sale bound, financial markets are “complete”, since the short-sale constraint is not effective. For …

Persistent link: https://www.econbiz.de/10005155336

Endogenous short-sale constraint, stock prices and output cycles

Zhang, Harold H. - In: Macroeconomic dynamics 1 (1997) 1, pp. 228-254

Persistent link: https://www.econbiz.de/10001337433