500 S. State Street
Ann Arbor, MI 48109
University of Michigan at Ann Arbor
in Total Papers Downloads
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transaction costs, long-run, portfolio choice, Merton problem
transaction costs, long-run, portfolio choice, liquidity premium, trading volume
transaction costs, indifference pricing and hedging, exponential utility, asymptotics
transaction costs, long-run, portfolio choice, exponential utility, trading volume
transaction costs, long‐run portfolio choice, exponential utility, trading volume
transaction costs, dividends, long-run, portfolio choice
transaction costs, optimal investment and consumption, trading volume, asymptotics
volatility uncertainty, ambiguity aversion, option pricing and hedging, asymptotics
optimal liquidation, price impact, self-excitement, risk aversion
high frequency trading, information asymmetry, inventory management
price impact, portfolio choice, asymptotics, homogenization
fixed transaction costs, optimal investment and consumption, homogenization, viscosity solutions, asymptotic expansions
Realized Variance, Quadratic Variation, Option Pricing, Small-Time Asymptotics, Fourier-Laplace Methods
long run, portfolio choice, incentives, executive compensation
price impact, transaction costs, portfolio choice, long-run
Limit order markets, optimal liquidity provision, asymptotics.
Limit order books; price impact; high-resilience limit
transaction costs, utility maximization, shadow price, convex duality
optimal consumption, random endowment, asymptotic analysis
Heterogeneous Beliefs, Equilibrium, Derivative Price Bubble, Uncertain Volatility Model, Nonlinear Expectation
model uncertainty, recalibration, delta-vega hedging, small uncertainty aversion, asymptotics
transaction costs, optimal trading frequency, optimal investment, multiple assets
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