Asset Pricing with General Transaction Costs: Theory and Numerics-Reference-Cited by-同舟云学术

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Asset Pricing with General Transaction Costs: Theory and Numerics

Published:2019 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Gonon Lukas,Muhle-Karbe Johannes,Shi Xiaofei

Publisher

Elsevier BV

Reference60 articles.

1. Optimal execution with nonlinear impact functions and trading-enhanced risk;R F Almgren;Appl. Math. Finance,2003

2. Optimal execution of portfolio transactions;R F Almgren;J. Risk,2001

3. Option hedging with smooth market impact;R F Almgren;Market Microstucture Liq,2016

4. Direct estimation of equity market impact;R F Almgren;RISK,2005

5. Asset pricing and the bid-ask spread;Y Amihud;J. Fin. Econ,1986

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Deep Learning for Constrained Utility Maximisation;Methodology and Computing in Applied Probability;2021-11-26

2. Asset pricing with heterogeneous beliefs and illiquidity;Mathematical Finance;2020-04-16

3. Equilibrium Asset Pricing with Transaction Costs;SSRN Electronic Journal;2019

4. Asset Pricing with Heterogeneous Beliefs and Illiquidity;SSRN Electronic Journal;2019

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