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Article: Viable costs and equilibrium prices in frictional securities markets

TitleViable costs and equilibrium prices in frictional securities markets
Authors
Issue Date2001
PublisherPeking University Press. The Journal's web site is located at http://www.aeconf.net/index.htm
Citation
Annals of Economics and Finance, 2001, v. 62, p. 297-323 How to Cite?
AbstractThis paper studies security markets with trading frictions, and offers a complete characterization of viable convex cost systems. For frictional markets that give rise to a convex-cone traded-payoff span and a sublinear payoff cost functional, the following three conditions are equivalent: viability, the extension property, and the absence of free lunches. Special cases in this class of markets include perfect-markets economies [Harrison and Kreps (1979)], economies with proportional transaction costs [Jouini and Kallal (1992, 1995)], economies with solvency constraints [Hindy (1995)], economies with no-short-selling, and economies with any combination of these frictions.
Persistent Identifierhttp://hdl.handle.net/10722/222290
ISSN
2015 Impact Factor: 0.571
2015 SCImago Journal Rankings: 0.485

 

DC FieldValueLanguage
dc.contributor.authorChen, Z-
dc.date.accessioned2016-01-11T07:37:02Z-
dc.date.available2016-01-11T07:37:02Z-
dc.date.issued2001-
dc.identifier.citationAnnals of Economics and Finance, 2001, v. 62, p. 297-323-
dc.identifier.issn1529-7373-
dc.identifier.urihttp://hdl.handle.net/10722/222290-
dc.description.abstractThis paper studies security markets with trading frictions, and offers a complete characterization of viable convex cost systems. For frictional markets that give rise to a convex-cone traded-payoff span and a sublinear payoff cost functional, the following three conditions are equivalent: viability, the extension property, and the absence of free lunches. Special cases in this class of markets include perfect-markets economies [Harrison and Kreps (1979)], economies with proportional transaction costs [Jouini and Kallal (1992, 1995)], economies with solvency constraints [Hindy (1995)], economies with no-short-selling, and economies with any combination of these frictions.-
dc.languageeng-
dc.publisherPeking University Press. The Journal's web site is located at http://www.aeconf.net/index.htm-
dc.relation.ispartofAnnals of Economics and Finance-
dc.titleViable costs and equilibrium prices in frictional securities markets-
dc.typeArticle-
dc.identifier.emailChen, Z: zchen99@hku.hk-
dc.identifier.authorityChen, Z=rp02041-
dc.identifier.volume62-
dc.identifier.spage297-
dc.identifier.epage323-
dc.publisher.placeChina-

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