Abstract
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.
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.
| Original language | English |
|---|---|
| Pages (from-to) | 265-276 |
| Journal | Annals of Operations Research |
| Volume | 133 |
| Publication status | Published - 2005 |
| Externally published | Yes |