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Equilibrium returns with transaction costs
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; … - In: Finance and stochastics 22 (2018) 3, pp. 569-601
Persistent link: https://www.econbiz.de/10011945871
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An incomplete equilibrium with a stochastic annuity
Weston, Kim; Žitković, Gordan - In: Finance and stochastics 24 (2020) 2, pp. 359-382
Persistent link: https://www.econbiz.de/10012253358
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Price impact in Nash equilibria
Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. - In: Finance and stochastics 27 (2023) 2, pp. 305-340
Persistent link: https://www.econbiz.de/10014253641
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Equilibrium asset pricing with transaction costs
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan - In: Finance and stochastics 25 (2021) 2, pp. 231-275
Persistent link: https://www.econbiz.de/10012499683
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Rochlin, Dmitri B. - In: Finance and stochastics 17 (2013) 4, pp. 819-839
Persistent link: https://www.econbiz.de/10010190873
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On the existence of shadow prices
Benedetti, Giuseppe; Campi, Luciano; Kallsen, Jan; … - In: Finance and stochastics 17 (2013) 4, pp. 801-818
Persistent link: https://www.econbiz.de/10010190874
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Existence of an endogenously complete equilibrium driven by a diffusion
Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011416985
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Asymmetric information and imperfect competition in a continuous time multivariate security model
Lasserre, Guillaume - In: Finance and stochastics 8 (2004) 2, pp. 285-309
Persistent link: https://www.econbiz.de/10002012604
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Irreversible investment and industry equilibrium
Friðrik Már Baldursson - In: Finance and stochastics 1 (1997) 1, pp. 69-89
Persistent link: https://www.econbiz.de/10001215727