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Existence of an equilibrium with limited participation

Weston, Kim - In: Finance and stochastics 28 (2024) 2, pp. 329-361

Persistent link: https://www.econbiz.de/10015130322

Price impact equilibrium with transaction costs and TWAP trading

Noh, Eunjung; Weston, Kim - In: Mathematics and financial economics 16 (2022) 1, pp. 187-204

Persistent link: https://www.econbiz.de/10013167754

An incomplete equilibrium with a stochastic annuity

Weston, Kim; Žitković, Gordan - In: Finance and stochastics 24 (2020) 2, pp. 359-382

Persistent link: https://www.econbiz.de/10012253358

Stability of Utility Maximization in Nonequivalent Markets

Weston, Kim - arXiv.org - 2014

Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the volatility of asset prices (as well as the drift) varies....

Persistent link: https://www.econbiz.de/10010934494

Existence of a Radner equilibrium in a model with transaction costs

Weston, Kim - In: Mathematics and financial economics 12 (2018) 4, pp. 517-539

Persistent link: https://www.econbiz.de/10011963878

Stability of utility maximization in nonequivalent markets

Weston, Kim - In: Finance and stochastics 20 (2016) 2, pp. 511-541

Persistent link: https://www.econbiz.de/10011471515