@article{daa06c72f13441bbae1d6b7de24ff852,
title = "Statistical arbitrage with default and collateral",
abstract = "This paper studies the implications of the absence of statistical arbitrage opportunities in a two-period incomplete market economy where default is allowed but there are collateral requirements. Modified versions of the fundamental theorem of asset pricing are obtained.",
keywords = "Collateral, Default, Statistical arbitrage",
author = "Jos{\'e} Fajardo and Ana Lacerda",
note = "Funding Information: We thank an anonymous referee for very helpful comments. J. Fajardo also thanks CNPq and Banco de Portugal for financial support. The opinions of the study represent the views of the authors and do not necessarily coincide with those of the Banco de Portugal. The usual disclaimer applies.",
year = "2010",
month = jul,
doi = "10.1016/j.econlet.2010.04.015",
language = "English",
volume = "108",
pages = "81--84",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "1",
}