Insiders and their Free Lunches: the Role of Short Positions
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measure, and we analyse its properties in connection to the minimal martingale measure. In particular, we establish conditions...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext bestellen |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | |
|---|---|
| container_issue | |
| container_start_page | |
| container_title | |
| container_volume | |
| creator | Coculescu, Delia Dandapani, Aditi |
| description | Given a stock price process, we analyse the potential of arbitrage by
insiders in a context of short-selling prohibitions. We introduce the notion of
minimal supermartingale measure, and we analyse its properties in connection to
the minimal martingale measure. In particular, we establish conditions when
both fail to exist. These correspond to the case when the insider's information
set includes some non null events that are perceived as having null
probabilities by the uninformed market investors. These results may have
different applications, such as in problems related to the local
risk-minimisation for insiders whenever strategies are implemented without
short selling. |
| doi_str_mv | 10.48550/arxiv.2012.00359 |
| format | Article |
| fullrecord | <record><control><sourceid>arxiv_GOX</sourceid><recordid>TN_cdi_arxiv_primary_2012_00359</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2012_00359</sourcerecordid><originalsourceid>FETCH-LOGICAL-a679-e11c1b9a54418931788f506158a66019061e257b3b73ef83bb274ba9a44b8fd3</originalsourceid><addsrcrecordid>eNotj8FOwzAQRH3hgAofwAn_QII3tmO74oIqCpUigWjv0bpZK5ZKjOyA4O-hpacZzeFpHmM3IGpltRZ3mL_jV90IaGohpHaX7H4zlThQLhyngc8jxczXmYh3n9N-pLI8bvwtHYinwLdjyjN_TSXOMU3lil0EPBS6PueCbdePu9Vz1b08bVYPXYWtcRUB7ME71EqBdRKMtUGLFrTFthXg_io12njpjaRgpfeNUR4dKuVtGOSC3f5TT-_7jxzfMf_0R4v-ZCF_AbeYQFE</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Insiders and their Free Lunches: the Role of Short Positions</title><source>arXiv.org</source><creator>Coculescu, Delia ; Dandapani, Aditi</creator><creatorcontrib>Coculescu, Delia ; Dandapani, Aditi</creatorcontrib><description>Given a stock price process, we analyse the potential of arbitrage by
insiders in a context of short-selling prohibitions. We introduce the notion of
minimal supermartingale measure, and we analyse its properties in connection to
the minimal martingale measure. In particular, we establish conditions when
both fail to exist. These correspond to the case when the insider's information
set includes some non null events that are perceived as having null
probabilities by the uninformed market investors. These results may have
different applications, such as in problems related to the local
risk-minimisation for insiders whenever strategies are implemented without
short selling.</description><identifier>DOI: 10.48550/arxiv.2012.00359</identifier><language>eng</language><subject>Quantitative Finance - Mathematical Finance</subject><creationdate>2020-12</creationdate><rights>http://creativecommons.org/licenses/by/4.0</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>228,230,776,881</link.rule.ids><linktorsrc>$$Uhttps://arxiv.org/abs/2012.00359$$EView_record_in_Cornell_University$$FView_record_in_$$GCornell_University$$Hfree_for_read</linktorsrc><backlink>$$Uhttps://doi.org/10.48550/arXiv.2012.00359$$DView paper in arXiv$$Hfree_for_read</backlink></links><search><creatorcontrib>Coculescu, Delia</creatorcontrib><creatorcontrib>Dandapani, Aditi</creatorcontrib><title>Insiders and their Free Lunches: the Role of Short Positions</title><description>Given a stock price process, we analyse the potential of arbitrage by
insiders in a context of short-selling prohibitions. We introduce the notion of
minimal supermartingale measure, and we analyse its properties in connection to
the minimal martingale measure. In particular, we establish conditions when
both fail to exist. These correspond to the case when the insider's information
set includes some non null events that are perceived as having null
probabilities by the uninformed market investors. These results may have
different applications, such as in problems related to the local
risk-minimisation for insiders whenever strategies are implemented without
short selling.</description><subject>Quantitative Finance - Mathematical Finance</subject><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2020</creationdate><recordtype>article</recordtype><sourceid>GOX</sourceid><recordid>eNotj8FOwzAQRH3hgAofwAn_QII3tmO74oIqCpUigWjv0bpZK5ZKjOyA4O-hpacZzeFpHmM3IGpltRZ3mL_jV90IaGohpHaX7H4zlThQLhyngc8jxczXmYh3n9N-pLI8bvwtHYinwLdjyjN_TSXOMU3lil0EPBS6PueCbdePu9Vz1b08bVYPXYWtcRUB7ME71EqBdRKMtUGLFrTFthXg_io12njpjaRgpfeNUR4dKuVtGOSC3f5TT-_7jxzfMf_0R4v-ZCF_AbeYQFE</recordid><startdate>20201201</startdate><enddate>20201201</enddate><creator>Coculescu, Delia</creator><creator>Dandapani, Aditi</creator><scope>GOX</scope></search><sort><creationdate>20201201</creationdate><title>Insiders and their Free Lunches: the Role of Short Positions</title><author>Coculescu, Delia ; Dandapani, Aditi</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a679-e11c1b9a54418931788f506158a66019061e257b3b73ef83bb274ba9a44b8fd3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2020</creationdate><topic>Quantitative Finance - Mathematical Finance</topic><toplevel>online_resources</toplevel><creatorcontrib>Coculescu, Delia</creatorcontrib><creatorcontrib>Dandapani, Aditi</creatorcontrib><collection>arXiv.org</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Coculescu, Delia</au><au>Dandapani, Aditi</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Insiders and their Free Lunches: the Role of Short Positions</atitle><date>2020-12-01</date><risdate>2020</risdate><abstract>Given a stock price process, we analyse the potential of arbitrage by
insiders in a context of short-selling prohibitions. We introduce the notion of
minimal supermartingale measure, and we analyse its properties in connection to
the minimal martingale measure. In particular, we establish conditions when
both fail to exist. These correspond to the case when the insider's information
set includes some non null events that are perceived as having null
probabilities by the uninformed market investors. These results may have
different applications, such as in problems related to the local
risk-minimisation for insiders whenever strategies are implemented without
short selling.</abstract><doi>10.48550/arxiv.2012.00359</doi><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext_linktorsrc |
| identifier | DOI: 10.48550/arxiv.2012.00359 |
| ispartof | |
| issn | |
| language | eng |
| recordid | cdi_arxiv_primary_2012_00359 |
| source | arXiv.org |
| subjects | Quantitative Finance - Mathematical Finance |
| title | Insiders and their Free Lunches: the Role of Short Positions |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-25T17%3A10%3A31IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-arxiv_GOX&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Insiders%20and%20their%20Free%20Lunches:%20the%20Role%20of%20Short%20Positions&rft.au=Coculescu,%20Delia&rft.date=2020-12-01&rft_id=info:doi/10.48550/arxiv.2012.00359&rft_dat=%3Carxiv_GOX%3E2012_00359%3C/arxiv_GOX%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_id=info:pmid/&rfr_iscdi=true |