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Long Horizons, High Risk Aversion, And Endogenous Spreads

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  • Paolo Guasoni
  • Johannes Muhle-Karbe

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  • Paolo Guasoni & Johannes Muhle-Karbe, 2015. "Long Horizons, High Risk Aversion, And Endogenous Spreads," Mathematical Finance, Wiley Blackwell, vol. 25(4), pages 724-753, October.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:4:p:724-753
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-4
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    Cited by:

    1. Yaroslav Melnyk & Frank Thomas Seifried, 2018. "Small†cost asymptotics for long†term growth rates in incomplete markets," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 668-711, April.
    2. Ibrahim Ekren & Ren Liu & Johannes Muhle-Karbe, 2015. "Optimal Rebalancing Frequencies for Multidimensional Portfolios," Papers 1510.05097, arXiv.org, revised Sep 2017.
    3. Xinfu Chen & Min Dai & Wei Jiang & Cong Qin, 2022. "Asymptotic analysis of long‐term investment with two illiquid and correlated assets," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1133-1169, October.

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