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Proportional transaction costs on asset trades : a note on existence by homotopy methods

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  • CITANNA, Alessandro

Abstract

We prove existence of equilibria with proportional transaction costs on asset trading, using homotopy methods.

Suggested Citation

  • CITANNA, Alessandro, 2000. "Proportional transaction costs on asset trades : a note on existence by homotopy methods," Les Cahiers de Recherche 717, HEC Paris.
  • Handle: RePEc:ebg:heccah:0717
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    References listed on IDEAS

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    1. repec:dau:papers:123456789/5630 is not listed on IDEAS
    2. MINELLI, Enrico & POLEMARCHAKIS, Heracles, 1999. "Nash-Walras equilibria of a large economy," CORE Discussion Papers 1999043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Frank Hahn, 1973. "On Transaction Costs, Inessential Sequence Economies and Money," Review of Economic Studies, Oxford University Press, vol. 40(4), pages 449-461.
    4. Hahn, F H, 1971. "Equilibrium with Transaction Costs," Econometrica, Econometric Society, vol. 39(3), pages 417-439, May.
    5. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
    6. Jaksa Cvitanić & Ioannis Karatzas, 1996. "HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2," Mathematical Finance, Wiley Blackwell, vol. 6(2), pages 133-165.
    7. Arrow, Kenneth J. & Hahn, Frank, 1999. "Notes on Sequence Economies, Transaction Costs, and Uncertainty," Journal of Economic Theory, Elsevier, vol. 86(2), pages 203-218, June.
    8. Atsushi Kajii & Antonio Villanacci & Alessandro Citanna, 1998. "Constrained suboptimality in incomplete markets: a general approach and two applications," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 11(3), pages 495-521.
    9. Duffie, Darrell & Sun, Tong-sheng, 1990. "Transactions costs and portfolio choice in a discrete-continuous-time setting," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 35-51, February.
    10. Prechac, Christophe, 1996. "Existence of equilibrium in incomplete markets with intermediation costs," Journal of Mathematical Economics, Elsevier, vol. 25(3), pages 373-380.
    11. Starr, Ross M, 1969. "Quasi-Equilibria in Markets with Non-Convex Preferences," Econometrica, Econometric Society, vol. 37(1), pages 25-38, January.
    12. Magill, Michael J. P. & Constantinides, George M., 1976. "Portfolio selection with transactions costs," Journal of Economic Theory, Elsevier, vol. 13(2), pages 245-263, October.
    13. Foley, Duncan K., 1970. "Economic equilibrium with costly marketing," Journal of Economic Theory, Elsevier, vol. 2(3), pages 276-291, September.
    14. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
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    More about this item

    Keywords

    Transaction costs; incomplete markets; homotopy methods;

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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