有摩擦金融市场的弱无套利性

Abstract

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

CLC Number:

F830.9
O221

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.

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Weak No-Arbitrage in Financial Markets with Frictions

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