Arbitrage and viability in securities markets with fixed trading costs (2007)
Jouini, Elyès, Kallal, Hedi, Napp, Clotilde
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage...
Arbitrage and viability in securities markets with fixed trading costs (2007)
Jouini, Elyès, Kallal, Hedi, Napp, Clotilde
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage...
Mark Grinblatt, Francis A. Longsta, Gregory Duee, Mark Fisher, Hedi Kallal, Avi Kamara, ...
The role that financial innovation plays in financial markets is very controversial. To provide insight into this role, we examine how market participants use the highly successful Treasury STRIPS...
Arbitrage And Viability in Securities Markets With Fixed Trading Costs (1999)
Jouini, Elyes, Kallal, Hedi, Napp, Clotilde
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as fixed brokerage...
Arbitrage And Viability in Securities Markets With Fixed Trading Costs (1999)
Jouini, Elyes, Kallal, Hedi, Napp, Clotilde
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transaction costs that are bounded regardless of the transaction size, such as fixed brokerage...
Factor Risk Premia and Variance Bounds (1995)
Balduzzi, Pierluigi, Kallal, Hedi
We consider the implications for mean factor risk premia for the variance of admissible (normalized) stochastic discount factors, or pricing kernels. For given mean risk premia, we identify lower...
Factor Risk Premia and Variance Bounds (1995)
Balduzzi, Pierluigi, Kallal, Hedi
We consider the implications for mean factor risk premia for the variance of admissible (normalized) stochastic discount factors, or pricing kernels. For given mean risk premia, we identify lower...
Martingale and Arbitrage in securities markets with transaction cost
We derive the implications from the absence of arbitrage in dynamic securities market with bi-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent...
Viability and equilibrium in securities markets with frictions
In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set)...
Efficient Trading Strategies in the Presence of Market Frictions
Trading Strategies
Risk Premia and Variance Bounds.
Balduzzi, Pierluigi, Kallal, Hedi
If a pricing kernel assigns a premium to a risk variable that differs from the one assigned by the minimum-variance admissible kernel, then the pricing kernel must exhibit more variability than the...
Arbitrage with fixed costs and interest rate models
Elyès Jouini, Hedi Kallal, Clotilde Napp
In this paper, we start by considering market models with fixed costs; in such a context, we characterize the absence of arbitrage opportunity and we provide pricing rules. We then apply these...
Efficient Trading Strategies in the Presence of Market Frictions.
We provide a price characterization of efficient contingent claims--that is, chosen by at least a rational agent--in multiperiod economies with market frictions. Frictions include market...
Arbitrage and viability in securities markets with fixed trading costs
Elyès Jouini, Hedi Kallal, Clotilde Napp
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage...
Arbitrage and viability in securities markets with fixed trading costs
Clotilde Napp, Elyès Jouini, Hedi Kallal
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage...
Arbitrage and viability in securities markets with fixed trading costs
Elyès Jouini, Hedi Kallal, Clotilde Napp
This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage...
General Equilibrium with Producers and Brokers Existence and Regularity
General equilibrium
Martingale and Arbitrage in Securities Markets with Transaction Cost
We derive the implications from the absence of arbitrage in dynamic securities market with bi-ask spreads. The absence of arbitrage is equivalent to the existence of at least an equivalent...
Arbitrage in securities markets with shortsale constraints
In this paper we derive the implications of the absence of arbitrage in securities markets models where traded securities are subject to short-sales constraints and where the borrowing and lending...