We derive the process followed by trading volume, in a market with finite depth and constant investment opportunities, where a representative investor, with a long horizon and constant relative risk aversion, trades a safe and a risky asset. Trading volume approximately follows a Gaussian,...

In a market with price-impact proportional to a power of the order flow, we find optimal trading policies and their implied performance for long-term investors who have constant relative risk aversion and trade a safe asset and a risky asset following geometric Brownian motion. These quantities...

We find asymptotically optimal trading policies for long-term investors with constant relative risk aversion, in a multiple-assets market where expected returns and covariances are constant, and the execution price of each asset is linear in the trading intensities of all assets. Trading towards...

We solve a general equilibrium model of an incomplete market with heterogeneous preferences, identifying first-order and second-order effects. Several long-lived agents with different absolute risk-aversion and discount rates make consumption and investment decisions, borrowing from and lending...

We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk...

We consider a market consisting of one safe and one risky asset, which offer constant investment opportunities. Taking into account both proportional transaction costs and linear price impact, we derive optimal rebalancing policies for representative investors with constant relative risk...