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Asymptotic theory of transaction costs

Schachermayer, Walter - 2017

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

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

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

A note on utility-based pricing in models with transaction costs

Davis, Mark H. A.; Yoshikawa, Daisuke - In: Mathematics and financial economics 9 (2015) 3, pp. 231-245

Persistent link: https://www.econbiz.de/10011350249

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

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

Persistent link: https://www.econbiz.de/10010728116

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/10008480598

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