Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs

doi:10.1007/s10479-005-6242-8

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	Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
	Chao, X ; Lai, KK ; Wang, SY; Yu, M
	2005
发表期刊	ANNALS OF OPERATIONS RESEARCH
ISSN	0254-5330
卷号	135 期号:1 页码:211-221
摘要	In this paper we consider a finite-state financial market with non-proportional transaction cost and bid-ask spreads. The transaction cost consists of two parts: a fixed cost and a proportional cost to the size of transaction. We show that the existence of an optimal consumption policy implies that the market has no strong arbitrage; the opposite, however, is not true, i.e., no strong arbitrage does not imply the existence of an optimal consumption policy. This is in sharp contrast with the case of proportional transaction cost and other cases reported in the literature, where no strong arbitrage is equivalent to the existence of an optimal consumption policy. We also study the relationship between weak arbitrage and strong arbitrage. Different from the market with proportional transaction cost, we find that these two forms of arbitrage are equivalent unless the fixed cost is zero. A necessary and sufficient condition for the existence of an optimal consumption policy is also obtained.
关键词	no-arbitrage optimal consumption portfolio selection transaction costs bid-ask spreads
DOI	10.1007/s10479-005-6242-8
语种	英语
WOS研究方向	Operations Research & Management Science
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000228973500011
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1244
专题	系统科学研究所
通讯作者	Chao, X
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 2.Univ Tsukuba, Inst Policy & Planning Sci, Tsukuba, Ibaraki 3058573, Japan 3.N Carolina State Univ, Dept Ind Engn, Raleigh, NC 27695 USA 4.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 5.Univ Int Business & Econ, Sch Business & Finance, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Chao, X,Lai, KK,Wang, SY,et al. Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs[J]. ANNALS OF OPERATIONS RESEARCH,2005,135(1):211-221.
APA	Chao, X,Lai, KK,Wang, SY,&Yu, M.(2005).Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs.ANNALS OF OPERATIONS RESEARCH,135(1),211-221.
MLA	Chao, X,et al."Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs".ANNALS OF OPERATIONS RESEARCH 135.1(2005):211-221.