TY - GEN
T1 - On computation of arbitrage for markets with friction
AU - Deng, Xiaotie
AU - Li, Zhongfei
AU - Wang, Shouyang
N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].
PY - 2000
Y1 - 2000
N2 - We are interested in computation of locating arbitrage in nancial markets with frictions. We consider a model with a nite number of nancial assets and a nite 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 xed price (as in reality). When these conditions are 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. © Springer-Verlag Berlin Heidelberg 2000.
AB - We are interested in computation of locating arbitrage in nancial markets with frictions. We consider a model with a nite number of nancial assets and a nite 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 xed price (as in reality). When these conditions are 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. © Springer-Verlag Berlin Heidelberg 2000.
UR - https://www.scopus.com/pages/publications/84956984976
UR - https://www.scopus.com/pages/publications/84956984976#tab=impact
U2 - 10.1007/3-540-44968-x_31
DO - 10.1007/3-540-44968-x_31
M3 - RGC 32 - Refereed conference paper (with host publication)
SN - 3540677879
SN - 9783540677871
VL - 1858
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 310
EP - 319
BT - Computing and Combinatorics - 6th Annual International Conference, COCOON 2000, Proceedings
PB - Springer Verlag
T2 - 6th Annual International Conference on Computing and Combinatorics, COCOON 2000
Y2 - 26 July 2000 through 28 July 2000
ER -