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Dynamic risk management of multi-asset portfolios
Groll, Christian - 2017
Persistent link: https://www.econbiz.de/10012202863
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Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets
Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1998
Persistent link: https://www.econbiz.de/10000978825
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Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets
Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1997
Persistent link: https://www.econbiz.de/10000969024
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Option replication in discrete time with transaction costs
Boyle, Phelim P. - In: The journal of finance : the journal of the American … 47 (1992) 1, pp. 271-293
Persistent link: https://www.econbiz.de/10001124506
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Market frictions and consumption-based asset pricing
He, Hua - In: Journal of political economy 103 (1995) 1, pp. 94-117
Persistent link: https://www.econbiz.de/10001176411
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Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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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
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Is liquidity risk priced in partially segmented markets?
Chaieb, Ines; Errunza, Vihang R.; Langlois, Hugues - 2018
Persistent link: https://www.econbiz.de/10012109789