231 citations · 447 across the 35 of their papers we have counts for
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q-fin.PM2018
Simple Bounds for Utility Maximization with Small Transaction Costs
Bruno Bouchard, Johannes Muhle-Karbe
Using elementary arguments, we show how to derive -error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. F…
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.PM2013
Hedging under an expected loss constraint with small transaction costs
Bruno Bouchard, Ludovic Moreau, Mete H. Soner
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with a…