This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as : fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the...

We provide a price characterization of efficient contingent claims - i.e., chosen by at least a rational agent-in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling and borrowing costs. We characterize the inefficiency cost of a...

In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the...

In this paper we provide a price characterization of efficient consumption bundles in multiperiod economies with market frictions. Efficient consumption bundles are those that are chosen by at least one rational agent with monotonic state-independent and risk-averse preferences and a given...

This paper studies the implications of security-market data for the risk premia on economic risk variables and the variance of stochastic discount factors, or pricing kernels. We derive a lower bound on the variance of pricing kernels consistent with asset returns, given the risk premium they...

If a pricing kernel assigns a premium to a risk variable that differs from the one assigned by the minimum-variance admissible kernel, then the pricing kernel must exhibit more variability than the minimum-variance kernel. Based on this intuition, we derive a variance bound that is more...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as : fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

We consider a model in which all investment opportunities are described in terms of cash flows. We don't assume that there is a numeacute;raire, the time horizon is not supposed to be finite, the investment opportunities are not specifically related to the buying and selling of securities on a...