Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions

XIAOTIE  DENG; Zhongfei Li; Shouyang Wang; Hailiang Yang

Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions

XIAOTIE DENG
, Zhongfei Li
, Shouyang Wang
, Hailiang Yang

The University of Hong Kong
CAS - Academy of Mathematics and System Sciences
University of Chinese Academy of Sciences

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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.

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

Cite this

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title = "Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions",

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.",

author = "XIAOTIE DENG and Zhongfei Li and Shouyang Wang and Hailiang Yang",

year = "2005",

language = "English",

volume = "133",

pages = "265--276",

journal = "Annals of Operations Research",

issn = "0254-5330",

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TY - JOUR

T1 - Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions

AU - DENG, XIAOTIE

AU - Li, Zhongfei

AU - Wang, Shouyang

AU - Yang, Hailiang

PY - 2005

Y1 - 2005

N2 - 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.

AB - 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.

M3 - Article

SN - 0254-5330

VL - 133

SP - 265

EP - 276

JO - Annals of Operations Research

JF - Annals of Operations Research

ER -

Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions

Abstract

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