Shorting in Speculative Markets

Jose Scheinkman

Abstract

We will develop a continuous-time model of trading with heterogeneous beliefs, where risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuation of the asset decreases with the size of... [ view full abstract ]

Session

TU-PL-A2 » Jose Scheinkman (10:00 - Tuesday, 17th July, Burke Theater)