Showing 1–20 of 50 results
/ Date/ Name
Nov 25, 2009Existence of Shadow Prices in Finite Probability SpacesJul 31, 2012Portfolio Choice with Transaction Costs: a User's GuideOct 6, 2011Long Horizons, High Risk Aversion, and Endogeneous SpreadsSep 12, 2012Option Pricing and Hedging with Small Transaction CostsMay 13, 2019Asset Pricing with General Transaction Costs: Theory and NumericsNov 27, 2020An Equilibrium Model for the Cross-Section of Liquidity PremiaOct 17, 2015Optimal Rebalancing Frequencies for Multidimensional PortfoliosDec 29, 2016A Risk-Neutral Equilibrium Leading to Uncertain Volatility PricingMay 1, 2017Portfolio Choice with Small Temporary and Transient Price ImpactMay 27, 2010The dual optimizer for the growth-optimal portfolio under transaction costsApr 5, 2011Utility Maximization, Risk Aversion, and Stochastic DominanceNov 18, 2009Utility maximization in models with conditionally independent incrementsOct 19, 2009A characterization of the martingale property of exponentially affine processesJan 19, 2010Option Pricing in Multivariate Stochastic Volatility Models of OU TypeFeb 16, 2018Simple Bounds for Utility Maximization with Small Transaction CostsMay 20, 2016Hedging with Small Uncertainty AversionDec 5, 2016A Primer on Portfolio Choice with Small Transaction CostsJul 5, 2024Fluid-Limits of Fragmented Limit-Order MarketsMay 21, 2012Transaction Costs, Shadow Prices, and Duality in Discrete TimeJun 12, 2013Asymptotics for Fixed Transaction Costs