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Option replication in discrete time with transaction costs
Boyle, Phelim P. - In: The journal of finance : the journal of the American … 47 (1992) 1, pp. 271-293
Persistent link: https://www.econbiz.de/10001124506
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Valuation of options on several risky assets when there are transactions costs
Boyle, Phelim P. - In: Advances in futures and options research : a research annual 9 (1997), pp. 111-127
Persistent link: https://www.econbiz.de/10001226768
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Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014
Persistent link: https://www.econbiz.de/10010380598
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Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014 - This version: February 15, 2014
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...
Persistent link: https://www.econbiz.de/10010250161
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Where experience matters : asset allocation and asset pricing with opaque and illiquid assets
Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2015
Persistent link: https://www.econbiz.de/10010495448
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Where experience matters : asset allocation and asset pricing with opaque and llliquid assets
Buss, Adrian; Vilkov, Grigory; Uppal, Raman - 2014
Persistent link: https://www.econbiz.de/10010485829
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Exchange rate volatility and international trade : a general equilibrium analysis
Sercu, Piet (contributor); Uppal, Raman (contributor) - 1998 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001777045
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Exchange rate volatility and international trade : a general-equilibrium analysis
Sercu, Piet; Uppal, Raman - In: European economic review : EER 47 (2003) 3, pp. 429-441
Persistent link: https://www.econbiz.de/10001770677
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A Transaction-Cost Perspective on the Multitude of Firm Characteristics
DeMiguel, Victor - 2019
We investigate how transaction costs change the number of characteristics that are jointly significant for an investor's optimal portfolio, and hence, how they change the dimension of the cross section of stock returns. We find that transaction costs increase the number of significant...
Persistent link: https://www.econbiz.de/10012902335
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Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
Buss, Adrian - 2019
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...
Persistent link: https://www.econbiz.de/10012905099