Spanning with Short‐Selling Restrictions
证明，在卖空限制下，若存在一个额外资产（如指数期货）的收益是原资产收益的正加权和，则原收益空间仍能被张成。
ABSTRACT In principle, the set of attainable payoff vectors is reduced if assets cannot be sold short. However, we show that the original space of payoff vectors is spanned despite short sale restrictions if there is one additional asset whose payoff is a positively weighted sum of the payoffs of the original assets. For example, this condition is automatically fulfilled if the original assets are stocks and the additional asset is an index future consisting of these stocks.