This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as: fixed brokerage fees, investment taxes, operational and processing costs, or opportunity costs. We show that the...

We provide a price characterization of efficient contingent claims--that is, chosen by at least a rational agent--in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. We characterize the inefficiency cost...

We provide a price characterization of efficient contingent claims - i.e., chosen by at least a rational agent-in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling and borrowing costs. We characterize the inefficiency cost of a...

In this paper we prove the existence of general equilibrium with transaction costs generalizing Hahn's (Review of Economic Studies, 1973, 40, 449-461) model by introducing producers and nonconvexities (in particular we allow for increasing returns in transaction sets). We also recover any...

We derive the implications from the absence of arbitrage in dynamic securities market with bi-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process between the bid and the ask price processes of traded...

In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the...