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Article: Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions

TitleNecessary and sufficient conditions for weak no-arbitrage in securities markets with frictions
Authors
KeywordsBid-ask spread
Nonlinear programming
Taxes
Transaction costs
Weak no-arbitrage
Issue Date2005
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0254-5330
Citation
Annals Of Operations Research, 2005, v. 133 n. 1-4, p. 265-276 How to Cite?
AbstractIn 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. © 2005 Springer Science + Business Media, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/82756
ISSN
2015 Impact Factor: 1.406
2015 SCImago Journal Rankings: 1.186
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorDeng, Xen_HK
dc.contributor.authorLi, ZFen_HK
dc.contributor.authorWang, Sen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:33:03Z-
dc.date.available2010-09-06T08:33:03Z-
dc.date.issued2005en_HK
dc.identifier.citationAnnals Of Operations Research, 2005, v. 133 n. 1-4, p. 265-276en_HK
dc.identifier.issn0254-5330en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82756-
dc.description.abstractIn 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. © 2005 Springer Science + Business Media, Inc.en_HK
dc.languageengen_HK
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0254-5330en_HK
dc.relation.ispartofAnnals of Operations Researchen_HK
dc.subjectBid-ask spreaden_HK
dc.subjectNonlinear programmingen_HK
dc.subjectTaxesen_HK
dc.subjectTransaction costsen_HK
dc.subjectWeak no-arbitrageen_HK
dc.titleNecessary and sufficient conditions for weak no-arbitrage in securities markets with frictionsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0254-5330&volume=133 &issue=1-4&spage=265&epage=276&date=2005&atitle=Necessary+and+Sufficient+Conditions+for+Weak+No-Arbitrage+in+Securities+Markets+with+Frictionsen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1007/s10479-004-5037-7en_HK
dc.identifier.scopuseid_2-s2.0-15244354627en_HK
dc.identifier.hkuros101270en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-15244354627&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume133en_HK
dc.identifier.issue1-4en_HK
dc.identifier.spage265en_HK
dc.identifier.epage276en_HK
dc.identifier.isiWOS:000227304900017-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridDeng, X=7401768881en_HK
dc.identifier.scopusauthoridLi, ZF=17434361900en_HK
dc.identifier.scopusauthoridWang, S=9132789300en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.citeulike101778-

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