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.

We study the optimal portfolio selection problem with transaction costs. In general, the ecient frontier can be determined by solving a parametric non-quadratic programming problem. In a general setting, the transaction cost is a V-shaped function of dierence between the existing and the new portfolio. We show how to transform this problem into a quadratic programming model. Hence a linear programming algorithm is applicable by establishing a linear approximation on the utility function of return and variance.

In this paper we study the computational problem of arbitrage in a frictional market with a finite number of bonds and finite and discrete times to maturity. Types of frictions under consideration include fixed and proportional transaction costs, bid-ask spreads, taxes, and upper bounds on the number of units for transaction. We obtain some negative result on computational diculty in general for arbitrage under those frictions: It is NP-complete to identify whether there exists a cash-and-carry arbitrage transaction and it is NP-hard to find an optimal cash-and-carry arbitrage transaction.

通过对沪深两市股指之间在一阶矩和二阶矩上的因果关系的检验，本文对两市之间的关系做了系统的分析。协整分析的结果表明。在后两个子样本区中两市股指之间存在双向的因果关系，并且沪市股指的变化起到了主导作用，这种关系在第三个子样本中进一步增强。GARCH（1，1）模型的结果表明沪深两市当期绝对扰动对另一个市场存在显著的“溢出效应”，但深市上的前期绝对扰动没有表现出对沪市的当期波动有显著影响。此外本文还使用了DCC—MVGARCH模型对两市的条件相关系数进行动态可视化。

本文引入在险收益（Eamings-at-Risk，EaR）的风险概念，并考虑连续时间Markowitz均值一方差型证券投资组合选择问题，其中度量风险的方差被替代为终端财富的在险收益。在Black-Scholes设置下，我们给出了均值一在险收益意义下的最优常数再调整（best constant-rebalanced）证券组合投资策略以及有效边界的显式表达式。这一结果可方便地应用于动态投资决策与管理的实践中。我们还给出概念与结论的一些经济学解释。