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

Xiaotie Deng (), Zhong Li (), Shouyang Wang () and Hailiang Yang ()

Annals of Operations Research, 2005, vol. 133, issue 1, 265-276

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

Keywords: weak no-arbitrage; transaction costs; bid-ask spread; taxes; nonlinear programming (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10479-004-5037-7

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