price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a … utility maximization program and the equilibrium approach through the market clearing conditions. When there are imperfections …

The impact of transaction costs on asset pricing in equilibrium is rarely studied. We study an equilibrium model with … transaction cost there always exist no trade equilibria. There are also equilibria with trade. High equilibrium risk exposure … risk aversions, the equilibrium liquidity premia and risk exposure are high. The equilibrium expected rebalancing costs are …

Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his … results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of … a portfolio. -- Arbitrage ; transaction costs ; fractional Brownian motion …

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. -- Stock price model ; random walk ; Gaussian processes ; weak convergence …