no code implementations • 2 Aug 2021 • 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.
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.
