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Given $m$-dimensional vector $p$ (price vector), and $m\times n$ matrix $X$ ($m$ securities' payoffs in $n$ states) for arbitrary $m$ and $n$, is there an algorithm to decide if there exists $h\in \mathbb{R}^m$ (arbitrage portfolio) such that

$hX\geq 0\quad \mbox{and}\quad hp<0 \qquad \tag{1}$

If $X$, $p$ and $h$ can have only integer entries, can we still decide?

I know that by Farkas' Lemma that equation $(1)$ is true iff there exists $q\in \mathbb{R}^n$ such that

$ p=Xq\quad \mbox{and}\quad q\geq 0 $

But this doesn't seem to help answer the question, either.

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    @copper.hat: Yes, you're right... For integer matrix and vectors, just solve $\min \{ h p | h X \geq 0 \}$ for $h$ using one of those algorithms, since $h$ must be rational, integer $\bar{h}$ can be obtained by multiplying h by a common multiple of its entries.2012-04-05

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