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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.

【免责声明】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],版权归原创者所有。本文仅代表作者本人观点,与本网站无关。本网站对文中陈述、观点判断保持中立,不对所包含内容的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考,并请自行承担全部责任。

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