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李仲飞

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期刊论文

Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions*∗

李仲飞XIAOTIE DENG ZHONG FEI LI** SHOUYANG WANG HAILIANG YANG

Annals of Operations Research 133, 265-276, 2005,-0001,():

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摘要/描述

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.

版权说明:以下全部内容由李仲飞上传于   2005年07月07日 17时44分49秒,版权归本人所有。

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