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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...
Persistent link: https://www.econbiz.de/10005626155
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This paper deals with market models where there is no compatible positive state price density.
Persistent link: https://www.econbiz.de/10005780754
In this paper we characterize efficient contingent claims to future consumption (consumption bundles) in multiperiod economies with uncertainty, taking a wide range of market firctions into account.
Persistent link: https://www.econbiz.de/10005671532
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...
Persistent link: https://www.econbiz.de/10005475255
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...
Persistent link: https://www.econbiz.de/10005663540
Persistent link: https://www.econbiz.de/10005823202
Persistent link: https://www.econbiz.de/10005350691
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...
Persistent link: https://www.econbiz.de/10008609870
It is an important issue for economic and finance applications to determine whether individuals exhibit a behavioral bias toward pessimism in their beliefs, in a lottery or more generally in an investment opportunities framework. In this paper, we analyze the answers of a sample of 1,540...
Persistent link: https://www.econbiz.de/10005542821