@article{Lukkarinen:2016:10.1007/s11579-016-0180-x,
author = {Lukkarinen, J and Pakkanen, MS},
doi = {10.1007/s11579-016-0180-x},
journal = {Mathematics and Financial Economics},
pages = {263--274},
title = {Arbitrage without borrowing or short selling?},
url = {http://dx.doi.org/10.1007/s11579-016-0180-x},
volume = {11},
year = {2016}
}

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TY  - JOUR
AB  - We show that a trader, who starts with no initial wealth and is not allowedto borrow money or short sell assets, is theoretically able to attain positivewealth by continuous trading, provided that she has perfect foresight of future asset prices, given by a continuous semimartingale. Such an arbitrage strategy can be constructed as a process of finite variation that satisfies a seemingly innocuous self-financing condition, formulated using a pathwiseRiemann-Stieltjes integral. Our result exemplifies the potential intricacies offormulating economically meaningful self-financing conditions in continuoustime, when one leaves the conventional arbitrage-free framework.
AU  - Lukkarinen,J
AU  - Pakkanen,MS
DO  - 10.1007/s11579-016-0180-x
EP  - 274
PY  - 2016///
SN  - 1862-9679
SP  - 263
TI  - Arbitrage without borrowing or short selling?
T2  - Mathematics and Financial Economics
UR  - http://dx.doi.org/10.1007/s11579-016-0180-x
UR  - http://hdl.handle.net/10044/1/40348
VL  - 11
ER  - 

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