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李仲飞

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COMPUTATIONAL COMPLEXITY OF ARBITRAGE IN FRICTIONAL SECURITY MARKET

李仲飞XIAOTIE DENG* ZHONG-FEI LI SHOU-YANG WANG

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摘要/描述

We are interested in computation of arbitrage condition in financial market with friction. We consider a deterministic model with a finite number of financial assets and a finite number of possible states of nature. The future return of of each asset under each possible state of nature is given in the model. We derive a negative result on computational complexity of arbitrage in the case when assets are traded in integer numbers of shares and with a maximum amount of shares that can be bought for a fixed price.

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45分29秒,版权归本人所有。

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