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Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization

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  • Baccara, Mariagiovanna
  • Battauz, Anna
  • Ortu, Fulvio

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  • Baccara, Mariagiovanna & Battauz, Anna & Ortu, Fulvio, 2006. "Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 55-79, January.
  • Handle: RePEc:eee:dyncon:v:30:y:2006:i:1:p:55-79
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    3. Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 275-292.
    4. Chen Zhiwu, 1995. "Financial Innovation and Arbitrage Pricing in Frictional Economies," Journal of Economic Theory, Elsevier, vol. 65(1), pages 117-135, February.
    5. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 117-138, March.
    6. A. Chateauneuf & R. Kast & A. Lapied, 1996. "Choquet Pricing For Financial Markets With Frictions," Mathematical Finance, Wiley Blackwell, pages 323-330.
    7. Charupat, Narat & Prisman, Eliezer Z., 1997. "Financial Innovations and Arbitrage Pricing in Economies with Frictions: Revisited," Journal of Economic Theory, Elsevier, vol. 74(2), pages 435-447, June.
    8. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-369.
    9. Huang, Kevin X. D., 2002. "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 283-301, December.
    10. repec:dau:papers:123456789/4721 is not listed on IDEAS
    11. Bernard Bensaid & Jean-Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86.
    12. Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 265-279, March.
    13. Philip H. Dybvig, 1988. "Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market," Review of Financial Studies, Society for Financial Studies, pages 67-88.
    14. repec:dau:papers:123456789/5603 is not listed on IDEAS
    15. Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1991. "Cash Stream Valuation In the Face of Transaction Costs and Taxes," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 31-54.
    16. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
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