Vis enkel innførsel

dc.contributor.authorHens, Thorsten
dc.contributor.authorHerings, P. Jean -Jacques
dc.contributor.authorPredtetchinskii, Arkadi
dc.date.accessioned2006-07-13T08:53:42Z
dc.date.available2006-07-13T08:53:42Z
dc.date.issued2003-11
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/164041
dc.description.abstractThere is an extensive literature claiming that it is often difficult to make use of arbitrage opportunities in financial markets. This paper provides a new reason why existing arbitrage opportunities might not be seized. We consider a world with short-lived securities, no short-selling constraints and no transaction costs. We show that to exploit all existing arbitrage opportunities, traders should pay attention to all financial markets simultaneously. It gives a general result stating that failure to do so will leave some arbitrage opportunities unexploited with probability one.en
dc.format.extent172403 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2003:16en
dc.subjectarbitrageen
dc.subjectbounded rationalityen
dc.titleLimits to arbitrage when market participation is restricteden
dc.typeWorking paperen


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel