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Nondegenerate Intervals of No-Trade Prices for Risk-averse Traders

Weinrich, Gerd
Munich Personal RePEc Archive · Reports
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NONDEGENERATE INTERVALS OF NO-TRADE PRICES FOR RISK-AVERSE TRADERS ABSTRACT. According to the local risk-neutrality theorem an agent who has the opportunity to invest in an uncertain asset does not buy it or sell it short iff its expected value is equal to its price, independently of the agent’s at
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