In this paper, we formulate a mean-variance portfolio selection model with liability under the constraint that short-selling is prohibited. Due to the introduction of the liability and no-shorting constraints, our problem is not a conventional stochastic optimal linear-quadratic(LQ) control problem, and the corresponding HJB equation has no continuous solution. we construct a lower-semicontinuo...

Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with ...

We advance a multistakeholder framework that highlights the influence of stakeholders in tempering short-termist responses to capital market pressures. When firms face pressure from short sellers market, they sometimes shift attention short-term stock performance and neglect critical investments pay off long run. Relying on quasi-natural experiment establishment-level data workplace injuries, w...

Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with ...

We consider the optimality of portfolios not subject to short-selling constraints and derive conditions that a universe of securities must satisfy for an optimal active portfolio to be dollar neutral or beta neutral. We find that following the common practice of constraining long–short portfolios to have zero net holdings or zero betas is generally suboptimal. Only under specific unlikely condi...

Abstract An artist’s death constitutes a negative shock to his future production; permanently decreases the float. We use this test predictions of speculative trading models with short-selling constraints. As predicted in our model, we find that an premature leads permanent increase prices and turnover; effect being larger for more famous artists. document increases (by 54.7%) secondary market ...