Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
文献类型：期刊论文
| 作者 | Chao, X; Lai, KK; Wang, SY ; Yu, M
|
| 刊名 | ANNALS OF OPERATIONS RESEARCH
 |
| 出版日期 | 2005 |
| 卷号 | 135期号:1页码:211-221 |
| 关键词 | no-arbitrage optimal consumption portfolio selection transaction costs bid-ask spreads |
| ISSN号 | 0254-5330 |
| DOI | 10.1007/s10479-005-6242-8 |
| 英文摘要 | In this paper we consider a finite-state financial market with non-proportional transaction cost and bid-ask spreads. The transaction cost consists of two parts: a fixed cost and a proportional cost to the size of transaction. We show that the existence of an optimal consumption policy implies that the market has no strong arbitrage; the opposite, however, is not true, i.e., no strong arbitrage does not imply the existence of an optimal consumption policy. This is in sharp contrast with the case of proportional transaction cost and other cases reported in the literature, where no strong arbitrage is equivalent to the existence of an optimal consumption policy. We also study the relationship between weak arbitrage and strong arbitrage. Different from the market with proportional transaction cost, we find that these two forms of arbitrage are equivalent unless the fixed cost is zero. A necessary and sufficient condition for the existence of an optimal consumption policy is also obtained. |
| WOS研究方向 | Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000228973500011 |
| 出版者 | SPRINGER |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/1243]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Chao, X |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 2.Univ Tsukuba, Inst Policy & Planning Sci, Tsukuba, Ibaraki 3058573, Japan 3.N Carolina State Univ, Dept Ind Engn, Raleigh, NC 27695 USA 4.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 5.Univ Int Business & Econ, Sch Business & Finance, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chao, X,Lai, KK,Wang, SY,et al. Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs[J]. ANNALS OF OPERATIONS RESEARCH,2005,135(1):211-221. |
| APA | Chao, X,Lai, KK,Wang, SY,&Yu, M.(2005).Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs.ANNALS OF OPERATIONS RESEARCH,135(1),211-221. |
| MLA | Chao, X,et al."Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs".ANNALS OF OPERATIONS RESEARCH 135.1(2005):211-221. |
入库方式： OAI收割
来源：数学与系统科学研究院
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