کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
480783 1446098 2011 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Efficiency analysis, shortage functions, arbitrage, and martingales
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Efficiency analysis, shortage functions, arbitrage, and martingales
چکیده انگلیسی

This paper shows that standard tools of efficiency analysis, directional distance functions, can be used to characterize the investment-returns technology. That ability to characterize the investment-returns technology and fundamental duality relationships imply that directional distance functions can be used to detect the presence of an arbitrage, to value financial assets in the absence of an arbitrage lying in the span of the market and to place bounds on the no-arbitrage values of assets lying outside the span of the market.


► The role of efficiency measures in financial is examined.
► Distance functions can detect arbitrages.
► Distance function can price assets in and out of market span.
► Distance functions can define martingale prices.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 213, Issue 1, 16 August 2011, Pages 349–358
نویسندگان
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