Equilibrium returns with transaction costs (Q1650939): Difference between revisions

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+.08464
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+The effect of market power on risk-sharing
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+Hedging with temporary price impact
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+Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint
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+An example of a stochastic equilibrium with incomplete markets
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+A Closed-Form Execution Strategy to Target Volume Weighted Average Price
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+Taylor approximation of incomplete Radner equilibrium models
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+On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
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+Q4702909
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+Dynamic portfolio choice with frictions
@@ Property / cites work: Dynamic portfolio choice with frictions / rank @@
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+Transaction costs, trading volume, and the liquidity premium
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+Rebalancing multiple assets with mutual price impact
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+Stability of Radner equilibria with respect to small frictions
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+Functions of Matrices
@@ Property / cites work: Functions of Matrices / rank @@
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+THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS
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+Q4368791
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+Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
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+Optimal Basket Liquidation for CARA Investors is Deterministic
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+Q3063929
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+Homogenization and Asymptotics for Small Transaction Costs
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+Equilibrium interest rate and liquidity premium with transaction costs
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+Existence of a Radner equilibrium in a model with transaction costs
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+A class of globally solvable Markovian quadratic BSDE systems and applications
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