Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions*∗
Annals of Operations Research 133, 265-276, 2005，-0001，（）：
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.
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