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

Mariagiovanna Baccara (), Anna Battauz and Fulvio Ortu

Journal of Economic Dynamics and Control, 2006, vol. 30, issue 1, pages 55-79

Date: 2006

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Journal of Economic Dynamics and Control is edited by J. Bullard, C. Chiarella, C. H. Hommes, P. N. Ireland, T. Cogley and M. Juillard

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