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

Author

Listed:
  • Xiaotie Deng
  • Zhong Li
  • Shouyang Wang
  • Hailiang Yang

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. Copyright Springer Science + Business Media, Inc. 2005

Suggested Citation

  • Xiaotie Deng & Zhong Li & Shouyang Wang & Hailiang Yang, 2005. "Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions," Annals of Operations Research, Springer, vol. 133(1), pages 265-276, January.
    • Handle: RePEc:spr:annopr:v:133:y:2005:i:1:p:265-276:10.1007/s10479-004-5037-7
    DOI: 10.1007/s10479-004-5037-7
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    References listed on IDEAS

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    Cited by:

    1. Wanxiao Tang & Jun Zhao & Peibiao Zhao, 2019. "Geometric No-Arbitrage Analysis in the Dynamic Financial Market with Transaction Costs," JRFM, MDPI, vol. 12(1), pages 1-17, February.

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