Long Horizons, High Risk Aversion, and Endogeneous Spreads
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References listed on IDEAS
- Stefan Gerhold & Johannes Muhle-Karbe & Walter Schachermayer, 2010. "The dual optimizer for the growth-optimal portfolio under transaction costs," Papers 1005.5105, arXiv.org, revised Oct 2010.
- Riccardo Giacomelli & Elisa Luciano, 2011. "Equilibrium price of immediacy and infrequent trade," Carlo Alberto Notebooks 221, Collegio Carlo Alberto, revised 2013.
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- Yuri M. Kabanov & Christophe Stricker, 2002. "On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 125-134.
- Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2011. "Transaction Costs, Trading Volume, and the Liquidity Premium," Papers 1108.1167, arXiv.org, revised Jan 2013.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-15 (All new papers)
- NEP-MST-2011-10-15 (Market Microstructure)
- NEP-UPT-2011-10-15 (Utility Models & Prospect Theory)
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