63 citations · 65 across the 14 of their papers we have counts for
7 papers · 1 filter
Radner equilibrium with population growth
Jin Hyuk Choi, Kim Weston
We prove the existence of a Radner equilibrium in a model with population growth and analyze the effects on asset prices. A finite population of agents grows indefinitely at a Pois…
Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions
Tae Ung Gang, Jin Hyuk Choi
This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. Extending the framework established by arX…
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…
Trading constraints in continuous-time Kyle models
Jin Hyuk Choi, Heeyoung Kwon, Kasper Larsen
In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces ou…
Endogenous noise trackers in a Radner equilibrium
Jin Hyuk Choi, Kim Weston
We prove the existence of an incomplete Radner equilibrium in a model with exponential investors and an endogenous noise tracker. We analyze a coupled system of ODEs and reduce it…
Equilibrium Effects of Intraday Order-Splitting Benchmarks
Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitiv…
Optimal consumption and investment with liquid and illiquid assets
Jin Hyuk Choi
We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consi…