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Found 9 papers, 0 papers with code
The Cost of Misspecifying Price Impact
Portfolio managers' orders trade off return and trading cost predictions.
Closed-Loop Nash Competition for Liquidity
We study a multi-player stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal.
Liquidity Provision with Adverse Selection and Inventory Costs
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client.
An Equilibrium Model for the Cross-Section of Liquidity Premia
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs.
Asset Pricing with Heterogeneous Beliefs and Illiquidity
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff.
Equilibrium Asset Pricing with Transaction Costs
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs.
Liquidity in Competitive Dealer Markets
We study a continuous-time version of the intermediation model of Grossman and Miller (1988).
Simple Bounds for Utility Maximization with Small Transaction Costs
Using elementary arguments, we show how to derive $\mathbf{L}_p$-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs.
Portfolio Choice with Small Temporary and Transient Price Impact
We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen (2016).
