14 citations · 23 across the 16 of their papers we have counts for
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q-fin.PM2017
Equilibrium Returns with Transaction Costs
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen +1
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors…
q-fin.MF2017
Perfect hedging under endogenous permanent market impacts
Masaaki Fukasawa, Mitja Stadje
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In c…