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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," HEC Research Papers Series 717, HEC Paris.
    • Handle: RePEc:ebg:heccah:0717
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    References listed on IDEAS

    as
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    5. MINELLI, Enrico & POLEMARCHAKIS, Heracles, 1999. "Nash-Walras equilibria of a large economy," LIDAM Discussion Papers CORE 1999043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    9. Jakša Cvitanić & Ioannis Karatzas, 1996. "Hedging And Portfolio Optimization Under Transaction Costs: A Martingale Approach12," Mathematical Finance, Wiley Blackwell, vol. 6(2), pages 133-165, April.
    10. M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
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    More about this item

    Keywords

    Transaction costs; incomplete markets; homotopy methods;
    All these keywords.

    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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