On computation of arbitrage for markets with friction

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	On computation of arbitrage for markets with friction
	Deng, XT ; Li, ZF ; Wang, SY
	2000
发表期刊	COMPUTING AND COMBINATORICS, PROCEEDINGS
ISSN	0302-9743
卷号	1858 页码:310-319
摘要	We. are interested in computation of locating arbitrage in financial markets with frictions. We consider a model with a finite number of financial assets and a finite number of possible, states of nature. We derive a, negative result on computational complexity of arbitrage in the case when securities are traded in integer numbers of shares and with a maximum amount of shares that can be bought for a fixed price (as in reality). When these conditions axe relaxed, we show that polynomial time algorithms can be obtained by applying linear programming techniques. We also establish the equivalence for no-arbitrage condition & optimal consumption portfolio.
语种	英语
WOS研究方向	Computer Science
WOS类目	Computer Science, Theory & Methods
WOS记录号	WOS:000171938600031
出版者	SPRINGER-VERLAG BERLIN
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15707
专题	中国科学院数学与系统科学研究院
通讯作者	Deng, XT
作者单位	1.City Univ Hong Kong, Dept Comp Sci, Hong Kong, Hong Kong, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Beijing, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Deng, XT,Li, ZF,Wang, SY. On computation of arbitrage for markets with friction[J]. COMPUTING AND COMBINATORICS, PROCEEDINGS,2000,1858:310-319.
APA	Deng, XT,Li, ZF,&Wang, SY.(2000).On computation of arbitrage for markets with friction.COMPUTING AND COMBINATORICS, PROCEEDINGS,1858,310-319.
MLA	Deng, XT,et al."On computation of arbitrage for markets with friction".COMPUTING AND COMBINATORICS, PROCEEDINGS 1858(2000):310-319.