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李仲飞, XIAOTIE DENG, ZHONG FEI LI**, SHOUYANG WANG, HAILIANG YANG
Annals of Operations Research 133, 265-276, 2005,-0001,():
-1年11月30日
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.
weak no-arbitrage,, transaction costs,, bid-ask spread,, taxes,, nonlinear programming
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李仲飞, 汪寿阳, 邓小铁
系统科学与数学,2002,22(3):285~295,-0001,():
-1年11月30日
本文用无套利方法分析有摩擦金融市场中利率的期限结构。对存在有限个债券和离散有限个到期日以及存在成比例的交易费、买卖差价、税赋这三种摩擦的金融市场。引入了相容期限结构的概念,给出了相容期限结构和套利机会的存在性结果或充要条件及它们的识别与计算方法。
期限结构, 摩擦市场, 交易费, 买卖差价, 税赋, 弱无套利
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【期刊论文】Interfaces with Other Disciplines A minimax portfolio selection strategy with equilibrium
李仲飞, Xiao-Tie Deng a, Zhong-Fei Li b, *, Shou-Yang Wang c
European Journal of Operational Research 166(2005)278-292,-0001,():
-1年11月30日
A new minimax model on optimal portfolio selection with uncertainty of both randomness and estimation in inputs is established and the corresponding optimal portfolio is derived analytically. Based on this result, a sufficient condition for the existence and uniqueness of a nonnegative equilibrium price system under which the total demand and supply of each asset are equal is provided and an explicit formula for such a price system is obtained. Furthermore, some properties of the equilibrium are discussed.
Uncertainty modelling, Portfolio selection, Optimization, Equilibrium
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李仲飞, 姚海祥, 易建新
运筹与管理,2004,13(5):59~61,-0001,():
-1年11月30日
在这篇短文中,给出了关于社会福利函数F的防止策略性操纵的概念,并且证明了如果备选对象至少有三个,则下面结论是相互等价的:(1)F满足Pareto与IIA性质;(2)F满足Pareto与RID性质;(3)F是独裁的;(4)F是满的、正向响应的;(5)F是防止策略操纵的且F是满的。
社会福利函数, 独裁, 防止策略性操纵, 正向响应
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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,():
-1年11月30日
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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