Martingales and arbitrage in securities markets with transaction costs
Year of publication: |
1995-06
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Authors: | Kallal, Hedi ; Jouini, Elyès |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Investment | linear pricing rules | bid-ask spreads |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Journal of Economic Theory, 1995, Vol. 66, no. 1. pp. 178-197.Length: 19 pages |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; D52 - Incomplete Markets ; D90 - Intertemporal Choice and Growth. General |
Source: |
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