论文标题
内部人士及其免费午餐：短职位的角色
Insiders and their Free Lunches: the Role of Short Positions
论文作者
论文摘要
鉴于股票价格过程，我们分析了内部人士在卖空禁令的情况下的套利潜力。我们介绍了最小的超级智能措施的概念，并分析了其与最小的Martingale措施有关的特性。特别是，我们确定两者都不存在的条件。当内幕信息集包含一些无效的事件时，这些情况与未知的市场投资者认为无效的概率相对应。这些结果可能具有不同的应用程序，例如，每当实施策略而无需短暂销售时，内部人士与本地风险最小化有关的问题。
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.
