Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization
Mariagiovanna Baccara, Anna Battauz, Fulvio Ortu
| Year of publication: |
2006
|
|---|---|
| Authors: | Baccara, Mariagiovanna ; Battauz, Anna ; Ortu, Fulvio |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 30.2006, 1, p. 55-79
|
| Subject: | Arbitrage Pricing | Arbitrage pricing | Geld-Brief-Spanne | Bid-ask spread | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003251151