Artikel
Geometric no-arbitrage analysis in the dynamic financial market with transaction costs
The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero. Furthermore, this paper derives the fact that the no-arbitrage condition for the one-period financial market is equivalent to the geometric no-arbitrage condition. Finally, an example states the equivalence between the geometric no-arbitrage condition and the existence of the solutions for a maximization problem of expected utility.
- Sprache
-
Englisch
- Erschienen in
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 1 ; Pages: 1-17 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
geometric no-arbitrage
transaction cost
bid-ask spread
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Tang, Wanxiao
Zhao, Jun
Zhao, Peibiao
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2019
- DOI
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doi:10.3390/jrfm12010026
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Tang, Wanxiao
- Zhao, Jun
- Zhao, Peibiao
- MDPI
Entstanden
- 2019
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