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Supply and Shorting in Speculative Markets. (arXiv:1705.05882v1 [q-fin.MF])
来源于:arXiv
We propose a continuous-time model of trading among risk-neutral agents with
heterogeneous beliefs. Agents face quadratic costs-of-carry on their positions
and as a consequence, their marginal valuation of the asset decreases when the
magnitude of their position increases, as it would be the case for risk-averse
agents. In the equilibrium models of investors with heterogeneous beliefs that
followed the original work by Harrison and Kreps, investors are risk-neutral,
short-selling is prohibited and agents face a constant marginal cost of
carrying positions. The resulting resale option guarantees that the equilibrium
price exceeds the price of the asset in a static buy-and-hold model where
speculation is ruled out. Our model features three main novelties. First,
increasing marginal costs entail that the price depends on the exogenous
supply. Second, in addition to the resale option, agents may also value an
option to delay, and this may cause the market to equilibrate \emph{below} the
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