Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
文献类型：期刊论文
| 作者 | Deng, XT; Li, ZF; Wang, SY ; Yang, HL
|
| 刊名 | ANNALS OF OPERATIONS RESEARCH
 |
| 出版日期 | 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 |
| WOS记录号 | WOS:000227304900017 |
| 出版者 | SPRINGER |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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