Optimal portfolio and consumption decisions for a “small investor” on a finite horizon
SIAM Journal on Control and Optimization
Exponential lower bounds for finding Brouwer fixed points
Journal of Complexity
Optimal consumption and arbitrage in incomplete, finite state security markets
Annals of Operations Research
Computers and Intractability: A Guide to the Theory of NP-Completeness
Computers and Intractability: A Guide to the Theory of NP-Completeness
Looking for arbitrage or term structures in frictional markets
WINE'05 Proceedings of the First international conference on Internet and Network Economics
Majority equilibrium of distribution centers allocation in supply chain management
WINE'05 Proceedings of the First international conference on Internet and Network Economics
Computation of arbitrage in a financial market with various types of frictions
AAIM'05 Proceedings of the First international conference on Algorithmic Applications in Management
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We are interested in computation of locating arbitrage in financial markets with frictions. We consider a model with a finite number of financial assets and a finite number of possible states of nature. We derive a negative result on computational complexity of arbitrage in the case when securities are traded in integer numbers of shares and with a maximum amount of shares that can be bought for a fixed price (as in reality). When these conditions are relaxed, we show that polynomial time algorithms can be obtained by applying linear programming techniques. We also establish the equivalence for no-arbitrage condition & optimal consumption portfolio.