THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS
β Scribed by Jarrow, Robert; Protter, Philip; Pulido, Sergio
- Book ID
- 121192413
- Publisher
- John Wiley and Sons
- Year
- 2012
- Tongue
- English
- Weight
- 655 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0960-1627
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This article examines if changes in short sales constraints affect the extent to which index futures contracts are mispriced. In particular, the study analyzes the mispricing of the Hong Kong Hang Seng Index futures contracts. Tests are conducted over three distinct regulatory regimes relating to th
## Abstract This article assumes that because of liquidity constraints, a hedge program will be terminated if the cumulative loss from a futures position exceeds a certain threshold. The constraint leads to a smaller futures position. If the hedger has a quadratic utility function, then the optimal