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Asymptotic theory of transaction costs

Schachermayer, Walter - 2017

Persistent link: https://www.econbiz.de/10011763489

Optimal investment in incomplete financial markets

Schachermayer, Walter - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 427-462). 2002

Persistent link: https://www.econbiz.de/10001679464

The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time

Schachermayer, Walter - In: Mathematical finance : an international journal of … 14 (2004) 1, pp. 19-48

Persistent link: https://www.econbiz.de/10001917667

Portfolio optimization in incomplete financial markets

Schachermayer, Walter - 2004

Persistent link: https://www.econbiz.de/10003469901

The super-replication theorem under proportional transaction costs revisited

Schachermayer, Walter - In: Mathematics and financial economics 8 (2014) 4, pp. 383-398

Persistent link: https://www.econbiz.de/10010490973

Transaction Costs, Trading Volume, and the Liquidity Premium

Gerhold, Stefan; Guasoni, Paolo; Schachermayer, Walter; … - National Centre of Competence in Research - Financial … - 2011

In a market with one safe and one risky asset, an investor with a long horizon, constantinvestment opportunities, and constant relative risk aversion trades with small proportionaltransaction costs. We derive explicit formulas for the optimal investment policy, its impliedwelfare, liquidity...

Persistent link: https://www.econbiz.de/10009418987

Shadow prices for continuous processes

Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 623-658

Persistent link: https://www.econbiz.de/10011764961

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter - In: Finance and stochastics 22 (2018) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10011945647

Transaction costs, trading volume, and the liquidity premium

Gerhold, Stefan; Guasoni, Paolo; Muhle-Karbe, Johannes; … - In: Finance and stochastics 18 (2014) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10010235459

The fundamental theorem of asset pricing for continuous processes under small transaction costs

Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter - In: Annals of finance 6 (2010) 2, pp. 157-191

Persistent link: https://www.econbiz.de/10003941214