有摩擦金融市场的弱无套利性

Chinese Journal of Management Science ›› 2002, Vol. ›› Issue (3): 1-5.

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

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.

References

[1] Modigliani F,Miller M H.The cost of capital,corporation finance,and the theory of investment[J].American Economic Review,1958,48:261-297.
[2] Black F,Sholes M.The pricing of options and corporate liabilities[J].Journal of Political Economy,1973,81:637-659.
[3] Merton R C.Theory of rational option pricing[J].Bell Journal of Economics and Management Science,1973,4:141-183.
[4] Ross S A.the arbitrage theory of capital asset pricing[J].Journal of Economic Theory,1976,13:341-360.
[5] Garman M B,Ohlson J A.Valuation of risky assets in arbitrage-free economies with transactions costs[J].Journal of Financial Economics,1981,9:271-280.
[6] Prisman E Z.Valuation of risky assets in arbitrage free economies with fictions[J].The Journal of Finance,1986,41:545-560.
[7] Duffie D.Dynamic Asset Pricing Theory[M].2nd ed.New Jersey:Princeton University Press,1996.
[8] Green R C,Srivastava S.Risk Aversion and Arbitrage[J].The Journal of Finance,1985,40:257-268.
[9] Ross S A.Return,risk and arbitrage[C].Risk and Return in Finance,Friend and Bicksler(eds.).Cambridge:Mass.,Ballinger,1976.189-218.
[10] Spremann K.The simple analytics of arbitrage[C].Capital Market Equilibria,Bamberg G.and Spremann K.(eds.).New York:Springer-Verlag,1986.189-207.
[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.
[12] Avriel M.Nonlinear Programming:Analysis and Methods[M].Prentice-Hall,Inc.,Englewood Cliffs,New Jersey,1976.
[13] Dermody J C,Prisman E Z.No arbitrage and valuation in market with realistic transaction costs[J].Journal of Financial and Quantitative Analysis,1993,28(1):65-80.
[14] Hubermann G.A simple approach to arbitrage pricing theory[J].Journal of Economic Theory,1982,28:183-191.
[15] Pham H,Touzi N.The fundamental theorem of asset pricing with cone constraints[J].Journal of Mathematical Economics,1999,31:265-279.

Weak No-Arbitrage in Financial Markets with Frictions

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 8

Metrics

Comments

Recommended 0

[1]	ZHANG Yong, LONG Wan-rong, YANG Xing-yu, ZHANG Wei-guo. Improved Exponential Gradient Portfolio Strategy Based on Online Algorithm [J]. Chinese Journal of Management Science, 2022, 30(9): 49-60.
[2]	ZENG Yong-quan, ZHANG Peng. Multi-period Mean-semi-absolute Deviation Portfolio Selection with Entropy Constraint [J]. Chinese Journal of Management Science, 2021, 29(9): 36-43.
[3]	ZHANG Peng, ZENG Yong-quan. Multiperiod Mean Semi-absolute Deviation Portfolio Selection with Total Short Selling Constraints [J]. Chinese Journal of Management Science, 2021, 29(6): 60-69.
[4]	WANG Jian-jian, HE Feng, WU Zi-xuan, Chen Li-li. Interval Quadratic Programming Model for Portfolio Selection with Improved Interval Acceptability Degree [J]. Chinese Journal of Management Science, 2018, 26(9): 11-18.
[5]	ZHOU Zhong-bao, LIU Pei, YU Huai-ning, MA Chao-qun, LIU Wen-bin. Performance Evaluation of Multi-period Portfolios on Considering Transaction Costs [J]. Chinese Journal of Management Science, 2015, 23(5): 1-6.
[6]	ZHOU Zhong-bao, DING Hui, MA Chao-qun, WANG Mei, LIU Wen-bin. Technical Efficiency Evaluation Approach for Portfolios with Transaction Costs [J]. Chinese Journal of Management Science, 2015, 23(1): 25-33.
[7]	XIAO Wei-lin, ZHANG Wei-guo, XU Wei-jun. Pricing Covered Warrants in a Sub-Fractional Brownian Motion with Transaction Costs [J]. Chinese Journal of Management Science, 2014, 22(5): 1-7.
[8]	LIU Hong-Chen, XU Jiu-ping, WU Meng, HUANG Nan-jing. A Long-short Portfolio Selection Model with Liquidity Constraints and Margin Purchase [J]. Chinese Journal of Management Science, 2011, 19(2): 40-48.