Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization

B-Tier

Journal: Journal of Economic Dynamics and Control

Year: 2006

Volume: 30

Issue: 1

Pages: 55-79

Authors (3)

Baccara, Mariagiovanna (Washington University in St. L...) Battauz, Anna (not in RePEc) Ortu, Fulvio (Università Commerciale Luigi B...)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count