no code implementations • 3 Aug 2020 • Eunjung Noh
We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium.
no code implementations • 19 Feb 2020 • Eunjung Noh, Kim Weston
The two types of frictions -- price impact and transaction costs -- lead the agents to two distinct changes in their optimal investment approach: price impact causes agents to continuously trade in smaller amounts, while transaction costs cause the agents to cease trading before the end of the trading period.
