Short Selling and Equilibrium Price Uncertainty

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：kingly1988

【摘要】

：

　　This paper studies the price and trading impact of margin rules for short selling within the context of Markowitz(1952).It is shown that heterogeneity in ma

【作者】

：

MaChenghu;

【机构】

：

Fuda Univ.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　This paper studies the price and trading impact of margin rules for short selling within the context of Markowitz(1952).It is shown that heterogeneity in margins may have price effect and lead to price indeterminacy,particularly in the presence of derivative trading.Existence of equilibrium,along with a characterization theorem on the equilibrium outcome,is proved when investors have heterogeneous beliefs and when margins for short selling may vary among agents and securities.

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Short Selling and Equilibrium Price Uncertainty

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