Shreve, S. E.; Soner, H. M.; Xu, G.-L. - In: Mathematical Finance 1 (1991) 3, pp. 53-84
An agent can invest in a high-yield bond and a low-yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. the low-yield bond is liquid in the sense that wealth...
