Statistical Arbitrage with Default and Collateral
نویسندگان
چکیده
The analyses, opinions and findings of these papers represent the views of the authors, they are not necessarily those of the Banco de Portugal. 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.
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