有摩擦金融市场的弱无套利性

中国管理科学 ›› 2002, Vol. ›› Issue (3): 1-5.

• 论文 • 下一篇

有摩擦金融市场的弱无套利性

李仲飞¹, 汪寿阳², 杨海亮³

1. 中山大学岭南学院金融系, 广东, 广州, 510275;
2. 中国科学院数学与系统科学研究院系统科学研究所, 北京, 100080;
3. 香港大学统计与精算系, 香港

收稿日期:2001-08-22 出版日期:2002-06-28 发布日期:2012-03-06
基金资助:
国家自然科学基金资助项目(10171115);教育部人文社会科学研究“十五”规划项目(01JA630009);广东省自然科学基金资助项目(011193)

Weak No-Arbitrage in Financial Markets with Frictions

LI Zhong-fei¹, WANG Shou-yang², YANG Hai-liang³

1. Department of Finance, Lingnan College, Zhongshan University, Guangzhou 510275, China;
2. Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080, China;
3. Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong

Received:2001-08-22 Online:2002-06-28 Published:2012-03-06

摘要/Abstract

摘要： 本文针对存在买进卖出差价和交易费两种摩擦形式的金融市场,利用凸分析、非线性规划等优化工具,给出了弱无套利的一个本质刻画,以及有关状态价格和弱无套利的一系列结果,推广了以往文献中的许多已知结果。

关键词: 弱无套利, 摩擦市场, 交易费, 买卖差价

Abstract: This paper studies the problem of weak no-arbitrage in a frictional market with transaction costs and bid-ask spreads.By using convex analysis and nonlinear programming,a fundamental characterization of weak no-arbitrage and a series of results related to state prices and weak no-arbitrage are established.These results extend many known results in existing literature.

Key words: weak no-arbitrage, frictional markets, transaction costs, bid-ask spreads

中图分类号:

F830.9
O221

李仲飞, 汪寿阳, 杨海亮. 有摩擦金融市场的弱无套利性[J]. 中国管理科学, 2002, (3): 1-5.

LI Zhong-fei, WANG Shou-yang, YANG Hai-liang. Weak No-Arbitrage in Financial Markets with Frictions[J]. Chinese Journal of Management Science, 2002, (3): 1-5.

参考文献

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[11] Ardalan K.The no-arbitrage condition and Financial markets with transaction costs and heterogeneous information:the bid-ask spread[J].Global finance Journal,1999,10(1):83-91.
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有摩擦金融市场的弱无套利性

Weak No-Arbitrage in Financial Markets with Frictions

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