Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints

We examine intertemporal asset pricing when short sales are constrained in proportion to the value of an investor's portfolio. All assets' prices exceed every investor's marginal utility of consumption-based valuation of the associated dividends if every investor finds himself constrained in some asset in some state; we exhibit such an equilibrium. An asset's price decomposes into three (investor-specific) components: the consumption-value of its dividends, a speculative-value premium, and a collateral-value premium. The validity of the no-arbitrage pricing approach is shown to depend critically on the difference between real securities and their synthetic counterparts. Cet article examine l'evaluation intertemporelle des titres financiers lorsque les ventes a decouvert sont limitees en proportion a la valeur du portefeuille de l'investisseur. Le prix de tout actif depasse, pour tout investisseur, la valorisation de ses dividendes basee sur l'utilite marginale de consommation individuelle, lorsque chaque investisseur se trouve contraint dasn un actif quelconque dans un etat quelconque; nous demontrons l'existence d'un tel equilibre. Le prix d'un actif a trois composantes : la valeur de consommation de ses dividendes, une prime de valeur speculative, et une prime de valeu de collateral. La validite de l'approche de validation fondee sur l'absence d'arbitrage depend de maniere critique de la difference entre un actif reel et sa contrepartie synthetique.

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