Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions

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	Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
	Deng, XT ; Li, ZF ; Wang, SY; Yang, HL
刊名	ANNALS OF OPERATIONS RESEARCH
	2005
卷号	133 期号:1-4 页码:265-276
关键词	weak no-arbitrage transaction costs bid-ask spread taxes nonlinear programming
ISSN号	0254-5330
英文摘要	In this paper we consider a financial market model with frictions which include transaction costs, bid-ask spread and taxes. By using optimization, linear and nonlinear programming and convex programming techniques, several necessary and sufficient conditions are derived for the weak no-arbitrage. Some results on state prices are also provided. The results of this paper can provide at least some theoretical insight to the problem.
WOS研究方向	Operations Research & Management Science
语种	英语
出版者	SPRINGER
WOS记录号	WOS:000227304900017
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/1035]
专题	系统科学研究所
通讯作者	Li, ZF
作者单位	1.Sun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China 2.City Univ Hong Kong, Dept Comp Sci, Hong Kong, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 4.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Deng, XT,Li, ZF,Wang, SY,et al. Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions[J]. ANNALS OF OPERATIONS RESEARCH,2005,133(1-4):265-276.
APA	Deng, XT,Li, ZF,Wang, SY,&Yang, HL.(2005).Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions.ANNALS OF OPERATIONS RESEARCH,133(1-4),265-276.
MLA	Deng, XT,et al."Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions".ANNALS OF OPERATIONS RESEARCH 133.1-4(2005):265-276.