英文标题：
《Shorting in Speculative Markets》
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作者：
Marcel Nutz, Jos\\\'e A. Scheinkman
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最新提交年份：
2019
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英文摘要：
  We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case for risk-averse agents. In the equilibrium models of heterogeneous beliefs that followed Harrison-Kreps, investors are risk-neutral, short-selling is prohibited and agents face constant marginal costs of carrying positions. The resulting resale option guarantees that the price exceeds the price of the asset when speculation is ruled out; the difference is identified as a bubble. In our model increasing marginal costs entail that the price depends on asset supply. Second, agents also value an option to delay, and this may cause the market to equilibrate below the buy-and-hold price. Third, we introduce the possibility of short-selling. A Hamilton-Jacobi-Bellman equation of a novel form quantifies precisely the influence of the costs-of-carry on the price. An unexpected decrease in shorting costs may lead to the collapse of a bubble; this links the financial innovations that facilitated shorting of MBSs to the subsequent collapse of prices.
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中文摘要：
我们提出了一个具有异质信念的连续时间交易模型。风险中性的代理人面临着持仓的二次成本，因此他们的边际估值会随着头寸的大小而降低，这与风险厌恶代理人的情况一样。在哈里森·克雷普斯（HarrisonKreps）之后的异质信念均衡模型中，投资者是风险中性的，卖空是被禁止的，代理人面临持仓的恒定边际成本。由此产生的转售选择权保证在排除投机的情况下，价格超过资产价格；这种差异被认为是一个泡沫。在我们的模型中，边际成本的增加意味着价格取决于资产供应。其次，代理人也会对延期期权进行估值，这可能会导致市场在买入并持有价格以下达到均衡。第三，我们引入了卖空的可能性。一个新形式的汉密尔顿-雅可比-贝尔曼方程精确地量化了结转成本对价格的影响。空头成本意外下降可能导致泡沫破裂；这将促成做空MBS的金融创新与随后的价格暴跌联系起来。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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