内幕交易者和他们的免费午餐：空头头寸的作用
Insiders and their Free Lunches: the Role of Short Positions
摘要：
给定一个股票价格过程，我们分析了在禁止卖空的背景下内部人套利的可能性。引入了极小超鞅测度的概念，并结合极小鞅测度分析了它的性质.特别是，我们建立的条件时，两者都不存在。这些对应的情况下，内部人的信息集包括一些非空事件，被认为是由不知情的市场投资者具有零概率。这些结果可能有不同的应用程序，如在有关的问题，当地的风险最小化的内部人士每当战略实施没有卖空。
英文摘要：
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measure, and we analyse its properties in connection to the minimal martingale measure. In particular, we establish conditions when both fail to exist. These correspond to the case when the insider's information set includes some non null events that are perceived as having null probabilities by the uninformed market investors. These results may have different applications, such as in problems related to the local risk-minimisation for insiders whenever strategies are implemented without short selling.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
