1. Robust Utility Optimization via a GAN Approach. (2024). Teichmann, Josef ; Wutte, Hanna ; Krach, Florian.
   In: Papers.
   RePEc:arx:papers:2403.15243.

   Full description at Econpapers || Download paper

2. Deep learning algorithms for hedging with frictions. (2023). Zhang, Zhanhao ; Shi, Xiaofei ; Xu, Daran.
   In: Digital Finance.
   RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-023-00075-z.

   Full description at Econpapers || Download paper

3. Rebalancing with transaction costs: theory, simulations, and actual data. (2023). Bernoussi, Rim ; Rockinger, Michael.
   In: Financial Markets and Portfolio Management.
   RePEc:kap:fmktpm:v:37:y:2023:i:2:d:10.1007_s11408-022-00419-6.

   Full description at Econpapers || Download paper

4. Closed‐loop Nash competition for liquidity. (2023). Neuman, Eyal ; Muhlekarbe, Johannes ; Micheli, Alessandro.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:33:y:2023:i:4:p:1082-1118.

   Full description at Econpapers || Download paper

5. Closed-Loop Nash Competition for Liquidity. (2023). Muhle-Karbe, Johannes ; Neuman, Eyal ; Micheli, Alessandro.
   In: Papers.
   RePEc:arx:papers:2112.02961.

   Full description at Econpapers || Download paper

6. Deep differentiable reinforcement learning and optimal trading. (2022). Jaisson, Thibault.
   In: Papers.
   RePEc:arx:papers:2112.02944.

   Full description at Econpapers || Download paper

7. Deep Learning Algorithms for Hedging with Frictions. (2022). Zhang, Zhanhao ; Shi, Xiaofei ; Xu, Daran.
   In: Papers.
   RePEc:arx:papers:2111.01931.

   Full description at Econpapers || Download paper

8. Equilibrium asset pricing with transaction costs. (2021). Herdegen, Martin ; Muhle-Karbe, Johannes ; Possamai, Dylan.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-021-00449-4.

   Full description at Econpapers || Download paper

9. Costly Trading. (2021). Isichenko, Michael.
   In: Papers.
   RePEc:arx:papers:2110.15239.

   Full description at Econpapers || Download paper

10. An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen.
    In: Papers.
    RePEc:arx:papers:2011.13625.

    Full description at Econpapers || Download paper

11. A closed-form solution for optimal mean-reverting trading strategies. (2020). de Prado, Marcos Lopez ; Lipton, Alexander.
    In: Papers.
    RePEc:arx:papers:2003.10502.

    Full description at Econpapers || Download paper

12. Deep Deterministic Portfolio Optimization. (2020). Hardiman, Stephen ; de Lataillade, Joachim ; Schmidt, Christian ; Chaouki, Ayman.
    In: Papers.
    RePEc:arx:papers:2003.06497.

    Full description at Econpapers || Download paper

13. Equations and Shape of the Optimal Band Strategy. (2020). de Lataillade, Joachim ; Chaouki, Ayman.
    In: Papers.
    RePEc:arx:papers:2003.04646.

    Full description at Econpapers || Download paper

14. Asset Pricing with General Transaction Costs: Theory and Numerics. (2020). Shi, Xiaofei ; Gonon, Lukas ; Muhle-Karbe, Johannes.
    In: Papers.
    RePEc:arx:papers:1905.05027.

    Full description at Econpapers || Download paper

15. Optimal multi-asset trading with linear costs: a mean-field approach. (2020). Emschwiller, Matt ; Bouchaud, Jean-Philippe ; Petit, Benjamin.
    In: Papers.
    RePEc:arx:papers:1905.04821.

    Full description at Econpapers || Download paper

16. Equilibrium Asset Pricing with Transaction Costs. (2020). Herdegen, Martin ; Muhle-Karbe, Johannes ; Possamai, Dylan.
    In: Papers.
    RePEc:arx:papers:1901.10989.

    Full description at Econpapers || Download paper

17. Portfolio Choice with Small Temporary and Transient Price Impact. (2020). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
    In: Papers.
    RePEc:arx:papers:1705.00672.

    Full description at Econpapers || Download paper

18. Hedge or Rebalance: Optimal Risk Management with Transaction Costs. (2018). Kassibrakis, Serge ; Malamud, Semyon ; Gallien, Florent.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:112-:d:174200.

    Full description at Econpapers || Download paper

19. A Primer on Portfolio Choice with Small Transaction Costs. (2017). Soner, Mete H ; Reppen, Max ; Muhle-Karbe, Johannes.
    In: Papers.
    RePEc:arx:papers:1612.01302.

    Full description at Econpapers || Download paper

20. LQG for portfolio optimization. (2016). Brokmann, X ; Abeille, M ; Serie, E ; Lazaric, A.
    In: Papers.
    RePEc:arx:papers:1611.00997.

    Full description at Econpapers || Download paper

21. Universal trading under proportional transaction costs. (2016). Martin, Richard J.
    In: Papers.
    RePEc:arx:papers:1603.06558.

    Full description at Econpapers || Download paper

22. Optimal Trading with Linear and (small) Non-Linear Costs. (2016). Benichou, R ; de Lataillade, J ; Rej, A.
    In: Papers.
    RePEc:arx:papers:1511.07359.

    Full description at Econpapers || Download paper

23. Optimal Trading with Alpha Predictors. (2015). Vazquez, Samuel E. ; Passerini, Filippo.
    In: Papers.
    RePEc:arx:papers:1501.03756.

    Full description at Econpapers || Download paper

24. Trading with Small Price Impact. (2015). Soner, Mete H. ; Moreau, Ludovic ; Muhle-Karbe, Johannes.
    In: Papers.
    RePEc:arx:papers:1402.5304.

    Full description at Econpapers || Download paper

25. The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Muhle-Karbe, Johannes ; Kallsen, Jan.
    In: Papers.
    RePEc:arx:papers:1303.3148.

    Full description at Econpapers || Download paper

26. Some applications of first-passage ideas to finance. (2013). Chicheportiche, R'Emy ; Bouchaud, Jean-Philippe.
    In: Papers.
    RePEc:arx:papers:1306.3110.

    Full description at Econpapers || Download paper

27. Optimal multifactor trading under proportional transaction costs. (2012). Martin, Richard J..
    In: Papers.
    RePEc:arx:papers:1204.6488.

    Full description at Econpapers || Download paper

1. B. TÃth, Y. LempÃriÃre, C. Deremble, J. de Lataillade, J. Kockelkoren, and J.-P. Bouchaud. Anomalous price impact and the critical nature of liquidity in ïnancial mark. Physical Review X, 1:021006, 2011.
   Paper not yet in RePEc: Add citation now
   

2. G. M. Constantinides. Capital market equilibrium with transaction costs. The Journal of Political Economy, 94(4):842â862, 1986.

3. L.C.G. Rogers. Why is the eïect of proportional transaction costs O(Î2/3)?, pages 303â 308. AMS Contemporary Mathematics. 2004.
   Paper not yet in RePEc: Add citation now
   

4. M. Davis and A. Norman. Portfolio selection with transaction costs. Mathematics of Operations Research, 15(4):676â713, October 1990.

5. R. Bellman. Dynamic Programming. Dover Publications, March 2003.
   Paper not yet in RePEc: Add citation now
   
6. R. F. Almgren and N. Chriss. Optimal execution of portfolio transactions. Journal of Risk, 3(2):5â39, 2000.
   Paper not yet in RePEc: Add citation now
   

7. R. F. Almgren. Optimal execution with nonlinear impact functions and trading-enhanced risk. Applied Mathematical Finance, 10(1):1â18, 2003.

8. R. Martin and T. SchÃneborn. Mean reversion pays, but costs. Risk Magazine, 2011.

9. R. Martin. Optimal multifactor trading under proportional transaction costs. Technical report, 2012.

10. S E Shreve and H. M. Soner. Optimal investment and consumption with transaction costs. The Annals of Applied Probability, 4(3):609â692, 1994.
    Paper not yet in RePEc: Add citation now
    
11. V. Durrleman and S. Lhermitte. Optimal arbitrage strategies in presence of market impacts. Technical report, 2007.
    Paper not yet in RePEc: Add citation now
    

1. The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Muhle-Karbe, Johannes ; Kallsen, Jan.
   In: Papers.
   RePEc:arx:papers:1303.3148.

   Full description at Econpapers || Download paper

2. Flight to liquidity due to heterogeneity in investment horizon. (2012). Wang, Xuewu ; Lei, Qin.
   In: China Finance Review International.
   RePEc:eme:cfripp:v:2:y:2012:i:2:p:316-350.

   Full description at Econpapers || Download paper

3. Rational expectations equilibrium with transaction costs in financial markets. (2012). Chong, Zhiwei .
   In: Finance Research Letters.
   RePEc:eee:finlet:v:9:y:2012:i:2:p:73-80.

   Full description at Econpapers || Download paper

4. Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?. (2012). Voronkova, Svitlana.
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:13:y:2012:i:1:p:8-25.

   Full description at Econpapers || Download paper

5. Trading dynamics in decentralized markets with adverse selection. (2011). Lester, Benjamin ; Camargo, Braz.
   In: Working Papers.
   RePEc:fip:fedpwp:11-36.

   Full description at Econpapers || Download paper

6. Optimal life cycle portfolio choice with housing market cycles. (2010). Stamos, Michael Z. ; Marekwica, Marcel.
   In: CFS Working Paper Series.
   RePEc:zbw:cfswop:201021.

   Full description at Econpapers || Download paper

7. Financial markets with endogenous transaction costs. (2010). Vailakis, Yiannis ; Martins-da-Rocha, V. Filipe ; V. Martins-da-Rocha, .
   In: Economic Theory.
   RePEc:spr:joecth:v:45:y:2010:i:1:p:65-97.

   Full description at Econpapers || Download paper

8. Liquidity in asset markets with search frictions. (2008). Rocheteau, Guillaume ; Lagos, Ricardo.
   In: Staff Report.
   RePEc:fip:fedmsr:408.

   Full description at Econpapers || Download paper

9. Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread. (2007). Lee, Gabriel ; Dupont, Dominique.
   In: Economic Theory.
   RePEc:spr:joecth:v:31:y:2007:i:2:p:393-400.

   Full description at Econpapers || Download paper

10. Pricing Implications of Shared Variance in Liquidity Measures. (2007). Skjeltorp, Johannes ; Næs, Randi ; Nas, Randi ; Chollete, Loran.
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2006_009.

    Full description at Econpapers || Download paper

11. Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market. (2006). Yang, Jian ; Guo, Hui ; Wang, Zijun.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-047.

    Full description at Econpapers || Download paper

12. Liquidity and Expected Returns: Lessons from Emerging Markets. (2006). Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5946.

    Full description at Econpapers || Download paper

13. Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic. (2005). bilbiie, florin.
    In: Economics Papers.
    RePEc:nuf:econwp:0509.

    Full description at Econpapers || Download paper

14. Liquidity and Expected Returns: Lessons From Emerging Markets. (2005). Lundblad, Christian ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11413.

    Full description at Econpapers || Download paper

15. Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity. (2005). Pritsker, Matthew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-36.

    Full description at Econpapers || Download paper

16. Liquidity Risk, Leverage and Long-Run IPO Returns. (2005). Norli, Oyvind ; Eckbo, Bjorn.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4832.

    Full description at Econpapers || Download paper

17. Timing Tax Evasion. (2004). Niepelt, Dirk.
    In: Working Papers.
    RePEc:szg:worpap:0407.

    Full description at Econpapers || Download paper

18. Corporate Financing Decisions When Investors Take the Path of Least Resistance. (2004). Stein, Jeremy ; Baker, Malcolm ; Coval, Joshua.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10998.

    Full description at Econpapers || Download paper

19. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Tan, Sinan ; Lynch, Anthony W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

    Full description at Econpapers || Download paper

20. Over-the-Counter Markets. (2004). Pedersen, Lasse ; Duffie, Darrell ; Garleanu, Nicolae.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10816.

    Full description at Econpapers || Download paper

21. Asset Pricing with Liquidity Risk. (2004). Pedersen, Lasse ; Acharya, Viral.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10814.

    Full description at Econpapers || Download paper

22. The Design of Financial Systems: Towards a Synthesis of Function and Structure. (2004). merton, robert ; Bodie, Zvi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10620.

    Full description at Econpapers || Download paper

23. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10327.

    Full description at Econpapers || Download paper

24. Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence. (2004). Baba, Naohiko ; Tanaka, Hiroatsu.
    In: Monetary and Economic Studies.
    RePEc:ime:imemes:v:22:y:2004:i:1:p:91-121.

    Full description at Econpapers || Download paper

25. Brokerage Commissions and Institutional Trading Patterns. (2004). Wiener, Zvi ; Kandel, Eugene ; Goldstein, Michael.
    In: Discussion Paper Series.
    RePEc:huj:dispap:dp356.

    Full description at Econpapers || Download paper

26. Liquidity Premia in Dynamic Bargaining Markets. (2004). Weill, Pierre-Olivier.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:648.

    Full description at Econpapers || Download paper

27. Legal constraints, transaction costs and the evaluation of mutual funds. (2003). Martinez Sedano, Miguel.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:9:y:2003:i:3:p:199-218.

    Full description at Econpapers || Download paper

28. A General Equilibrium Financial Asset Economy With Transaction Costs And Trading Constraints. (2003). Milne, Frank ; Neave, Edwin.
    In: Working Paper.
    RePEc:qed:wpaper:1082.

    Full description at Econpapers || Download paper

29. Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread. (2003). Lee, Gabriel ; Dupont, Dominique Y..
    In: Economics Series.
    RePEc:ihs:ihsesp:132.

    Full description at Econpapers || Download paper

30. Market imperfections , equilibrium and arbitrage. (2003). Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00167131.

    Full description at Econpapers || Download paper

31. Portfolio Choice with Illiquid Assets. (2003). Szeidl, Adam.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3795.

    Full description at Econpapers || Download paper

32. Asset Pricing with Liquidity Risk. (2003). Pedersen, Lasse ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3749.

    Full description at Econpapers || Download paper

33. A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs. (2002). Wu, Liuren ; Goswami, Gautam.
    In: Finance.
    RePEc:wpa:wuwpfi:0207016.

    Full description at Econpapers || Download paper

34. The Rate of Risk Aversion May Be Lower Than You Think. (2002). Jacobs, Kris.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-08.

    Full description at Econpapers || Download paper

35. Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs. (2001). Schmedders, Karl ; Herings, P. Jean-Jacques.
    In: Discussion Papers.
    RePEc:nwu:cmsems:1318.

    Full description at Econpapers || Download paper

36. Liquidity Risk and Expected Stock Returns. (2001). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8462.

    Full description at Econpapers || Download paper

37. Arbitrage and Control Problems in Finance. Presentation.. (2001). Jouini, Elyès.
    In: Post-Print.
    RePEc:hal:journl:halshs-00167152.

    Full description at Econpapers || Download paper

38. Market Microstructure and Asset Pricing: A Survey. (1999). HEIDLE, HANS GERHARD.
    In: Discussion Papers.
    RePEc:rif:dpaper:691.

    Full description at Econpapers || Download paper

39. Viability and Equilibrium in Securities Markets with Frictions. (1999). Jouini, Elyès ; hedi, Hachani ; Kallal, Hedi .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-036.

    Full description at Econpapers || Download paper

40. Efficient Trading Strategies in the Presence of Market Frictions. (1999). Jouini, Elyès ; Kallal, Hedi .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-035.

    Full description at Econpapers || Download paper

41. Arbitrage and Viability in Securities Markets with Fixed Trading Costs. (1999). NAPP, Clotilde ; Jouini, Elyès ; Kallal, Hedi .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-033.

    Full description at Econpapers || Download paper

42. Optimal Asset Rebalancing in the Presence of Transactions Costs. (1996). Leland, Hayne.
    In: Finance.
    RePEc:wpa:wuwpfi:9610004.

    Full description at Econpapers || Download paper

43. Ex-dividend price behavior of common stocks. (1994). Jagannathan, Ravi ; Boyd, John H..
    In: Staff Report.
    RePEc:fip:fedmsr:173.

    Full description at Econpapers || Download paper

44. Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing. (1993). Lucas, Deborah ; Heaton, John .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4249.

    Full description at Econpapers || Download paper

45. A Note on the Effect of Transactions Costs on Real Estate Investment Return. (1991). Cassidy, Steven M. ; Sullivan, Michael J. ; Ermer, Charles M..
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:6:n:1:1991:p:113-117.

    Full description at Econpapers || Download paper

46. Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands. (1990). Baldwin, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3319.

    Full description at Econpapers || Download paper

47. Perishable Investment and Hysteresis in Capital Formation. (1989). Dumas, Bernard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2930.

    Full description at Econpapers || Download paper

48. Pricing Physical Assets Internationally. (1988). Dumas, Bernard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2569.

    Full description at Econpapers || Download paper

49. Consumer Durables and the Optimality of Usually Doing Nothing. (1988). Blinder, Alan ; Bar-ilan, Avner.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2488.

    Full description at Econpapers || Download paper

50. Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods. (1987). Laroque, Guy ; Grossman, Sanford.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2369.

    Full description at Econpapers || Download paper

Report date: 2025-10-06 16:57:16 || Missing content? Let us know