| Article ID: | iaor20052201 |
| Country: | Netherlands |
| Volume: | 133 |
| Issue: | 1 |
| Start Page Number: | 265 |
| End Page Number: | 276 |
| Publication Date: | Jan 2005 |
| Journal: | Annals of Operations Research |
| Authors: | Deng Xiaotie, Wang Shouyang, Li Zhong Fei, Yang Hailiang |
| Keywords: | finance & banking |
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.