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Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs

Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2015 - This version: February 2015

In this paper, we study the effect of proportional transaction costs on consumption- portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...

Persistent link: https://www.econbiz.de/10012061082