Received: 27 June 2020  Accepted: 25 November 2020
DOI: 10.1111/mafi.12297

ORIGINAL ARTICLE


Asset pricing with general transaction costs:
Theory and numerics
Lukas Gonon1           Johannes Muhle-Karbe2                Xiaofei Shi3
1Department of Mathematics, University
of Munich, Theresienstrae 39, Munich       Abstract
80333, Germany                   We study risk-sharing equilibria with general convex
2Department of Mathematics, Imperial        costs on the agents’ trading rates. For an i ...