| 摩擦市场中无套利、近似无套利与没有免费午餐 |
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| 引用本文： | 张顺明.摩擦市场中无套利、近似无套利与没有免费午餐[J].经济数学,2000,17(4):9-15. |
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| 作者姓名： | 张顺明 |
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| 作者单位： | 清华大学经济管理学院,北京,100084 |
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| 基金项目： | This research is supported by a project of Financial Mathematics. Financial Engineering and Financial Management, which is one of "Ninth Five-Hear Plan" Major Projects of National Natural Science Foundation of China (Grant 79790130) .and Basic Research Foundation,School of Economics and Management,Tsinghua University. |
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| 摘 要： | 本文研究具有摩擦的证券市场中资产定价,即在局部凸拓扑空间中弱与强无套利、弱与强近似无套利及弱与强没有免费午餐.我们建立了这三个概念之间的关系并且解决了资产定价理论的估值问题.
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| 关 键 词： | 无套利 近似无套利 没有免费午餐 |
| 修稿时间： | 2000年4月19日 |
ARBITRAGE-FREENESS, APPROXIMATE ARBITRAGE-FREENESS AND NO FREE LUNCHES IN FRICTIONAL SECURITY MARKETS |
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| Shunming Zhang.ARBITRAGE-FREENESS, APPROXIMATE ARBITRAGE-FREENESS AND NO FREE LUNCHES IN FRICTIONAL SECURITY MARKETS[J].Mathematics in Economics,2000,17(4):9-15. |
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| Authors: | Shunming Zhang |
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| Abstract: | This paper studies asset pricing in frictional security markets. The mathemationcal formulation is based on a locally convex topological space for arbitrage-freeness,approximate arbitrage-freeness and no free lunches. We establish the relations of these concepts and solve the valuation problem in asset pricing theory. |
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| Keywords: | arbitrage-freeness approximate arbitrage- freeness no free lunches |
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