Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239031 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 12 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
geometric no-arbitrage
transaction cost
bid-ask spread
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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