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期刊论文

On Computation of Arbitrage for Markets with Friction

李仲飞Xiaotie Deng* Zhongfei Li** and Shouyang Wang***

COCOON2000, LNCS 1858, pp. 310-319, 2000.,-0001,():

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摘要/描述

We are interested in computation of locating arbitrage in-nancial markets with frictions. We consider a model with a nitenumber of nancial assets and a nitenumber of possible states of nature. We derive a negative result on computational complexity of arbitrage in the case when securities are traded in integer numbers of shares and with a maximum amount of shares that can be bought for a xed price (asin reality). When these conditions are relaxed, we show that polynomial time algorithms can be obtained by applying linear programming tech-niques. We also establish the equivalence for no-arbitrage condition & optimal consumption portfolio.

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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47分11秒,版权归本人所有。

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