Financial innovation and arbitrage pricing in frictional economies
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Publication:1804627
DOI10.1006/jeth.1995.1004zbMath0821.90015OpenAlexW2084797347MaRDI QIDQ1804627
Publication date: 27 September 1995
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jeth.1995.1004
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Related Items (8)
Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs ⋮ Financial innovations and arbitrage pricing in economies with frictions: Revisited ⋮ On securitization, market completion and equilibrium risk transfer ⋮ Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization ⋮ A general equilibrium analysis of strategic arbitrage ⋮ Transaction costs and a redundant security: Divergence of individual and social relevance ⋮ Asset pricing under progressive taxes and existence of general equilibrium
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