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Transactions costs and portfolio choice in a discrete-continuous-time setting
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Cited by:
- Fernando E. Alvarez & Francesco Lippi & Luigi Paciello, 2011.
"Optimal Price Setting With Observation and Menu Costs,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 126(4), pages 1909-1960.
- Fernando Alvarez & Francesco Lippi & Luigi Paciello, 2010. "Optimal Price Setting with Observation and Menu Costs," EIEF Working Papers Series 1010, Einaudi Institute for Economics and Finance (EIEF), revised May 2010.
- F. Alvarez & F. Lippi & L. Paciello, 2010. "Optimal price setting with observation and menu costs," 2010 Meeting Papers 478, Society for Economic Dynamics.
- Alvarez, Fernando & Lippi, Francesco & Paciello, Luigi, 2010. "Optimal price setting with observation and menu costs," CEPR Discussion Papers 7861, C.E.P.R. Discussion Papers.
- Fernando E. Alvarez & Francesco Lippi & Luigi Paciello, 2010. "Optimal price setting with observation and menu costs," NBER Working Papers 15852, National Bureau of Economic Research, Inc.
- Ravi Bansal & Ivan Shaliastovich, 2011.
"Learning and Asset-price Jumps,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2738-2780.
- Ravi Bansal & Ivan Shaliastovich, 2009. "Learning and Asset-Price Jumps," NBER Working Papers 14814, National Bureau of Economic Research, Inc.
- Alvarez, Fernando & Lippi, Francesco, 2013.
"The demand of liquid assets with uncertain lumpy expenditures,"
Journal of Monetary Economics, Elsevier, vol. 60(7), pages 753-770.
- Fernando Alvarez & Francesco Lippi, 2012. "The Demand of Liquid Assets with Uncertain Lumpy Expenditures," NBER Working Papers 18152, National Bureau of Economic Research, Inc.
- Fernando Alvarez & Francesco Lippi, 2013. "The demand of liquid assets with uncertain lumpy expenditures," EIEF Working Papers Series 1307, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2013.
- Jiho Park, 2024. "Heterogeneous Beliefs Model of Stock Market Predictability," Papers 2406.08448, arXiv.org.
- Yongyang Cai & Kenneth L. Judd & Rong Xu, 2013.
"Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs,"
NBER Working Papers
18709, National Bureau of Economic Research, Inc.
- Yongyang Cai & Kenneth Judd & Rong Xu, 2020. "Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs," Papers 2003.01809, arXiv.org.
- Marianne Andries & Valentin Haddad, 2020.
"Information Aversion,"
Journal of Political Economy, University of Chicago Press, vol. 128(5), pages 1901-1939.
- Valentin Haddad & Marianne Andries, 2014. "Information Aversion," 2014 Meeting Papers 1091, Society for Economic Dynamics.
- Marianne Andries & Valentin Haddad, 2017. "Information Aversion," NBER Working Papers 23958, National Bureau of Economic Research, Inc.
- Marianne Andries & Valentin Haddad, 2020. "Information Aversion," Post-Print hal-03052577, HAL.
- Andries, Marianne & Haddad, Valentin, 2017. "Information Aversion," TSE Working Papers 17-779, Toulouse School of Economics (TSE).
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2021.
"Five Facts about Beliefs and Portfolios,"
American Economic Review, American Economic Association, vol. 111(5), pages 1481-1522, May.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five facts about beliefs and portfolios," CESifo Working Paper Series 7666, CESifo.
- Maggiori, Matteo & Ströbel, Johannes & Giglio, Stefano & Utkus, Stephen P., 2019. "Five Facts About Beliefs and Portfolios," CEPR Discussion Papers 13657, C.E.P.R. Discussion Papers.
- Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Stephen Utkus, 2019. "Five Facts about Beliefs and Portfolios," NBER Working Papers 25744, National Bureau of Economic Research, Inc.
- V. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008.
"Endogenous Transaction Costs,"
Discussion Papers
0810, University of Exeter, Department of Economics.
- Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2008. "Endogenous Transaction Costs," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 680, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Andriy Demchuk, 2002. "Portfolio Optimization with Concave Transaction Costs," FAME Research Paper Series rp103, International Center for Financial Asset Management and Engineering.
- Guiso, Luigi & Sodini, Paolo, 2013.
"Household Finance: An Emerging Field,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532,
Elsevier.
- Luigi Guiso & Paolo Sodini, 2012. "Household Finance. An Emerging Field," EIEF Working Papers Series 1204, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2012.
- Guiso, Luigi, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
- Yin, Penghui, 2021. "Optimal attention and heterogeneous precautionary saving behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
- Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
- Xavier Gabaix, 2014.
"A Sparsity-Based Model of Bounded Rationality,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 129(4), pages 1661-1710.
- Xavier Gabaix, 2011. "A Sparsity-Based Model of Bounded Rationality," NBER Working Papers 16911, National Bureau of Economic Research, Inc.
- Daisuke Ikeda & Hidehiko Matsumoto, 2021. "Procyclical Leverage and Crisis Probability in a Macroeconomic Model of Bank Runs," IMES Discussion Paper Series 21-E-01, Institute for Monetary and Economic Studies, Bank of Japan.
- Elyès Jouini, 2003.
"Market imperfections , equilibrium and arbitrage,"
Post-Print
halshs-00167131, HAL.
- Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, University Library of Munich, Germany.
- repec:dau:papers:123456789/5593 is not listed on IDEAS
- Andersen, Steffen & Campbell, John Y. & Meisner-Nielsen, Kasper & Ramadorai, Tarun, 2014.
"Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market,"
Scholarly Articles
17492179, Harvard University Department of Economics.
- Campbell, John Y & Nielsen, Kasper Meisner, 2015. "Inattention and Inertia in Household Finance: Evidence from the Danish Mortgage Market," CEPR Discussion Papers 10683, C.E.P.R. Discussion Papers.
- Vayanos, Dimitri, 1998.
"Transaction Costs and Asset Prices: A Dynamic Equilibrium Model,"
The Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
- Vayanos, Dimitri, 1998. "Transaction costs and asset prices : a dynamic equilibrium model," LSE Research Online Documents on Economics 451, London School of Economics and Political Science, LSE Library.
- Philippe Bacchetta & Eric van Wincoop, 2010. "Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle," American Economic Review, American Economic Association, vol. 100(3), pages 870-904, June.
- Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
- Yu, Edison G., 2018.
"Dynamic market participation and endogenous information aggregation,"
Journal of Economic Theory, Elsevier, vol. 175(C), pages 491-517.
- Edison Yu, 2013. "Dynamic market participation and endogenous information aggregation," Working Papers 13-42, Federal Reserve Bank of Philadelphia.
- David Hobson & Yeqi Zhu, 2014. "Optimal consumption and sale strategies for a risk averse agent," Papers 1409.3394, arXiv.org.
- Francisco Gomes & Michael Haliassos & Tarun Ramadorai, 2021.
"Household Finance,"
Journal of Economic Literature, American Economic Association, vol. 59(3), pages 919-1000, September.
- Haliassos, Michael & Gomes, Francisco, 2020. "Household Finance," CEPR Discussion Papers 14502, C.E.P.R. Discussion Papers.
- Gomes, Francisco J. & Haliassos, Michael & Ramadorai, Tarun, 2020. "Household finance," IMFS Working Paper Series 138, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Xavier Gabaix, 2017.
"Behavioral Inattention,"
NBER Working Papers
24096, National Bureau of Economic Research, Inc.
- Gabaix, Xavier, 2018. "Behavioral Inattention," CEPR Discussion Papers 13268, C.E.P.R. Discussion Papers.
- Takashi Nishiwaki, "undated". "On the Stability of Equilibrium in the Market with Heterogeneous Investment Horizons," Working Papers 2101, Waseda University, Faculty of Political Science and Economics.
- David Hobson & Yeqi Zhu, 2014. "Multi-asset consumption-investment problems with infinite transaction costs," Papers 1409.8037, arXiv.org.
- Steffen Andersen & John Y. Campbell & Kasper Meisner Nielsen & Tarun Ramadorai, 2020.
"Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market,"
American Economic Review, American Economic Association, vol. 110(10), pages 3184-3230, October.
- Steffen Andersen & John Y. Campbell & Kasper Meisner Nielsen & Tarun Ramadorai, 2015. "Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market," NBER Working Papers 21386, National Bureau of Economic Research, Inc.
- Peter Diesinger & Holger Kraft & Frank Seifried, 2010. "Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?," Finance and Stochastics, Springer, vol. 14(3), pages 343-374, September.
- Philippe Bacchetta & Eric Van Wincoop, 2006.
"Incomplete information processing: a solution to the forward discount puzzle,"
Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- Philippe Bacchetta & Eric van Wincoop, 2005. "Incomplete Information Processing: A Solution to the Forward Discount Puzzle," Working Papers 05.03, Swiss National Bank, Study Center Gerzensee.
- Philippe Bacchetta & Eric Van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco.
- Nishiwaki, Takashi, 2022. "Impact of different investment horizons in heterogeneous agent models: Do long-term traders bring market stability?," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 393-401.
- Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001.
"Arbitrage and viability in securities markets with fixed trading costs,"
Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
- Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999. "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-033, New York University, Leonard N. Stern School of Business-.
- Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Post-Print halshs-00167157, HAL.
- Garnadi, Agah D. & SYAHRIL,, 2017. "An Optimal Transaction Intervals for Portfolio Selection Problem with Bullet Transaction Cost," INA-Rxiv ev7mk, Center for Open Science.
- Philippe Bacchetta & Eric van Wincoop, 2005.
"Rational Inattention: A Solution to the Forward Discount Puzzle,"
FAME Research Paper Series
rp156, International Center for Financial Asset Management and Engineering.
- Bacchetta, Philippe & van Wincoop, Eric, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers 5261, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Eric van Wincoop, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," NBER Working Papers 11633, National Bureau of Economic Research, Inc.
- Fernando Alvarez & Luigi Guiso & Francesco Lippi, 2012.
"Durable Consumption and Asset Management with Transaction and Observation Costs,"
American Economic Review, American Economic Association, vol. 102(5), pages 2272-2300, August.
- Guiso, Luigi & Alvarez, Fernando & Lippi, Francesco, 2010. "Durable consumption and asset management with transaction and observation costs," CEPR Discussion Papers 7702, C.E.P.R. Discussion Papers.
- Fernando E. Alvarez & Luigi Guiso & Francesco Lippi, 2010. "Durable consumption and asset management with transaction and observation costs," NBER Working Papers 15835, National Bureau of Economic Research, Inc.
- Fernando Alvarez & Luigi Guiso & Francesco Lippi, 2010. "Durable Consumption and Asset Management with Transaction and Observation Costs," EIEF Working Papers Series 1001, Einaudi Institute for Economics and Finance (EIEF), revised Jan 2010.
- Fernando Alvarez & Luigi Guiso & Francesco Lippi, 2010. "Durable Consumption and Asset Management with Transaction and Observation Costs," Economics Working Papers ECO2010/04, European University Institute.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Balduzzi, Pierluigi & Lynch, Anthony W., 1999. "Transaction costs and predictability: some utility cost calculations," Journal of Financial Economics, Elsevier, vol. 52(1), pages 47-78, April.
- Martin, J. Spencer & Santomero, Anthony M., 1997. "Investment opportunities and corporate demand for lines of credit," Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1331-1350, October.
- Muthuraman, Kumar, 2007. "A computational scheme for optimal investment - consumption with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1132-1159, April.
- Fernando Alvarez & Andrew Atkeson & Chris Edmond, 2009.
"Sluggish Responses of Prices and Inflation to Monetary Shocks in an Inventory Model of Money Demand,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 124(3), pages 911-967.
- Fernando Alvarez & Andrew Atkeson & Chris Edmond, 2008. "Sluggish responses of prices and inflation to monetary shocks in an inventory model of money demand," Staff Report 417, Federal Reserve Bank of Minneapolis.
- Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004.
"Asset Prices and Trading Volume under Fixed Transactions Costs,"
Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
- Andrew Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," Yale School of Management Working Papers ysm188, Yale School of Management, revised 01 Sep 2009.
- Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," NBER Working Papers 8311, National Bureau of Economic Research, Inc.
- Andrew Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," Yale School of Management Working Papers ysm188, Yale School of Management, revised 01 Sep 2009.
- Huang, Ming, 2003. "Liquidity shocks and equilibrium liquidity premia," Journal of Economic Theory, Elsevier, vol. 109(1), pages 104-129, March.
- CITANNA, Alessandro, 2000. "Proportional transaction costs on asset trades : a note on existence by homotopy methods," HEC Research Papers Series 717, HEC Paris.
- Sergey Isaenko & Rui Zhong, 2015. "Liquidity premium in the presence of stock market crises and background risk," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 79-90, January.
- Stig V. Møller & Jesper Rangvid, 2012. "End-of-the-year economic growth and time-varying expected returns," CREATES Research Papers 2012-42, Department of Economics and Business Economics, Aarhus University.
- Xavier Gabaix & David Laibson, 2002.
"The 6D Bias and the Equity-Premium Puzzle,"
NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 257-330,
National Bureau of Economic Research, Inc.
- Xavier Gabaix & David Laibson, 2002. "The 6D Bias and the Equity Premium Puzzle," Harvard Institute of Economic Research Working Papers 1947, Harvard - Institute of Economic Research.
- Kato, Mika & Proaño, Christian R. & Semmler, Willi, 2018. "Does international-reserves targeting decrease the vulnerability to capital flights?," Research in International Business and Finance, Elsevier, vol. 44(C), pages 64-75.
- V. Martins-da-Rocha & Yiannis Vailakis, 2010. "Financial markets with endogenous transaction costs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 65-97, October.
- Kumar Muthuraman & Haining Zha, 2008. "Simulation‐Based Portfolio Optimization For Large Portfolios With Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 115-134, January.