منابع مشابه
Market Equilibrium with Transaction Costs
Identical products being sold at different prices in different locations is a common phenomenon. Price differences might occur due to various reasons such as shipping costs, trade restrictions and price discrimination. This is modelled in traditional market models by adding a production that transfers the goods from one location to another. However, this approach is not always satisfactory sinc...
متن کاملMonetary general equilibrium with transaction costs
Commodity money arises endogenously in a general equilibrium model with separate budget constraints for each transaction. Transaction costs imply differing bid and ask (selling and buying) prices. The most liquid good—with the smallest proportionate bid/ask spread—becomes commodity money. General equilibrium may not be Pareto efficient. If zero-transaction-cost money is available then the equil...
متن کاملDynamic Trading with Predictable Returns and Transaction Costs
We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio an...
متن کاملEquilibrium Interest Rate and Liquidity Premium with Transaction Costs
In this paper we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with two riskless assets. The first asset is liquid while the second asset carries proportional transaction costs. We show that agents buy the liquid asset for short-term investment and the illiquid asset for long-term investment. When transaction costs increase, the price of th...
متن کاملDynamic Trading with Predictable Returns and Transaction Costs ∗ Nicolae Gârleanu and Lasse
This paper derives in closed form the optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal updated portfolio is a linear combination of the existing portfolio, the optimal portfolio absent trading costs, and the optimal portfolio based on future expected returns and transaction costs. Predictors...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2018
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-018-0366-6