出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：We analyze the pricing of risky income streams in a world with competitive security markets where investors are constrained by restrictions on possible portfolio holdings.We investigate how we can transfer concepts and pricing techniques from a world without frictions to such a more realistic situation.Portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated.For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no unlimited arbitrage.The power of no arbitrage techniques is preserved in the sense that no specific assumptions about utility functions of inves?tors have to be made.
