FINANCE
Edited by R.A. Jarrow, V. Maksimovic and W.T. Ziemba
CHAPTER 2
Finite State Securities Market Models and Arbitrage
V. Naik
1. Introduction*
2. The model
3. Arbitrage and security prices in a frictionless market
4. Arbitrage and security prices in a model with transactions costs
5. Optimal portfolio choice in a finite state model: the static optimization approach
6. Concluding remarks
Appendix
Acknowledgements
References
* The first two pages of the chapters are available as PDF file.
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