3 citations · 3 across the 2 of their papers we have counts for
3 papers
q-fin.MF2023
A multi-agent targeted trading equilibrium with transaction costs
Jin Hyuk Choi, Jetlir Duraj, Kim Weston
We prove the existence of a continuous-time Radner equilibrium with multiple agents and transaction costs. The agents are incentivized to trade towards a targeted number of shares…
q-fin.MF2020★ 3 cited
Price impact equilibrium with transaction costs and TWAP trading
Eunjung Noh, Kim Weston
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions…
q-fin.MF2018
An incomplete equilibrium with a stochastic annuity
Kim Weston, Gordan Zitkovic
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consum…