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Article: Viable costs and equilibrium prices in frictional securities markets
Title | Viable costs and equilibrium prices in frictional securities markets |
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Authors | |
Issue Date | 2001 |
Publisher | Peking 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? |
Abstract | This 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 Identifier | http://hdl.handle.net/10722/222290 |
ISSN | 2023 Impact Factor: 0.2 2023 SCImago Journal Rankings: 0.160 |
DC Field | Value | Language |
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dc.contributor.author | Chen, Z | - |
dc.date.accessioned | 2016-01-11T07:37:02Z | - |
dc.date.available | 2016-01-11T07:37:02Z | - |
dc.date.issued | 2001 | - |
dc.identifier.citation | Annals of Economics and Finance, 2001, v. 62, p. 297-323 | - |
dc.identifier.issn | 1529-7373 | - |
dc.identifier.uri | http://hdl.handle.net/10722/222290 | - |
dc.description.abstract | This 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.language | eng | - |
dc.publisher | Peking University Press. The Journal's web site is located at http://www.aeconf.net/index.htm | - |
dc.relation.ispartof | Annals of Economics and Finance | - |
dc.title | Viable costs and equilibrium prices in frictional securities markets | - |
dc.type | Article | - |
dc.identifier.email | Chen, Z: zchen99@hku.hk | - |
dc.identifier.authority | Chen, Z=rp02041 | - |
dc.identifier.volume | 62 | - |
dc.identifier.spage | 297 | - |
dc.identifier.epage | 323 | - |
dc.publisher.place | China | - |
dc.identifier.issnl | 1529-7373 | - |