Transaction Costs in Housing Markets

Universal investment in markets with transaction costs

In this paper we formulate and solve the problem of universal growth optimal investment in two-asset discrete time markets with proportional transaction costs. We do not make any distributional assumptions on the market return sequences and construct a policy with growth rate at least as large as any interval policy. Since interval policies are 2-optimal for independent identically distributed ...

Simulating water markets with transaction costs

This paper presents an optimization model to simulate short-term pair-wise spot-market trading of surface water abstraction licenses (water rights). The approach uses a node-arc multicommodity formulation that tracks individual supplier-receiver transactions in a water resource network. This enables accounting for transaction costs between individual buyer-seller pairs and abstractor-specific r...

Arbitrage-Free Models in Markets with Transaction Costs

In the paper [7], Guasoni studies financial markets which are subject to proportional transaction costs. The standard martingale framework of stochastic finance is not applicable in these markets, since the transaction costs force trading strategies to have bounded variation, while continuoustime martingale strategies have infinite transaction cost. The main question that arises out of [7] is w...

Marketable Pollution Permits in Oligopolistic Markets with Transaction Costs

Social capital and transaction costs in millet markets

In sub-Saharan Africa, transaction costs are believed to be the most significant barrier that prevents smallholders and farmers from gaining access to markets and productive assets. In this study, we explore the impact of social capital on millet prices for three contrasted years in Senegal. Social capital is approximated using a unique data set on mobile phone communications between 9 million ...