{"id":"https://openalex.org/W2914522708","doi":"https://doi.org/10.1007/s00780-021-00449-4","title":"Equilibrium Asset Pricing with Transaction Costs","display_name":"Equilibrium Asset Pricing with Transaction Costs","publication_year":2019,"publication_date":"2019-01-01","ids":{"openalex":"https://openalex.org/W2914522708","doi":"https://doi.org/10.1007/s00780-021-00449-4","mag":"2914522708"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-021-00449-4","doi":"https://doi.org/10.1007/s00780-021-00449-4","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-021-00449-4","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-021-00449-4.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","fnege-2","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s00780-021-00449-4.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5005041681","display_name":"Martin Herdegen","orcid":"https://orcid.org/0000-0002-2092-7167","observed_orcids":["https://orcid.org/0000-0002-2092-7167"]},"institutions":[{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Martin Herdegen","raw_affiliation_strings":["Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK","University of Warwick"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK","institution_ids":["https://openalex.org/I39555362"]},{"raw_affiliation_string":"University of Warwick","institution_ids":["https://openalex.org/I39555362"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5018432446","display_name":"Johannes Muhle\u2010Karbe","orcid":"https://orcid.org/0000-0002-9165-2244","observed_orcids":["https://orcid.org/0000-0002-9165-2244"]},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Johannes Muhle-Karbe","raw_affiliation_strings":["Department of Mathematics, Imperial College London, London, SW7 1NE, UK","Imperial College London"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Imperial College London, London, SW7 1NE, UK","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"Imperial College London","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5004677521","display_name":"Dylan Possama\u00ef","orcid":"https://orcid.org/0000-0002-9364-0124","observed_orcids":["https://orcid.org/0000-0002-9364-0124"]},"institutions":[{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Dylan Possama\u00ef","raw_affiliation_strings":["Department of Mathematics, ETH Z\u00fcrich, R\u00e4mistrasse 101, Z\u00fcrich, 8092, Switzerland","ETH Z\u00fcrich"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, ETH Z\u00fcrich, R\u00e4mistrasse 101, Z\u00fcrich, 8092, Switzerland","institution_ids":["https://openalex.org/I35440088"]},{"raw_affiliation_string":"ETH Z\u00fcrich","institution_ids":["https://openalex.org/I35440088"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5018432446"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":{"value":2690,"currency":"USD","value_usd":2690},"apc_paid":{"value":2690,"currency":"USD","value_usd":2690},"fwci":3.0304,"has_fulltext":true,"cited_by_count":20,"citation_normalized_percentile":{"value":0.91197437,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"25","issue":"2","first_page":"231","last_page":"275"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9789999723434448,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9789999723434448,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.018300000578165054,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.002199999988079071,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/equilibrium-asset-pricing","display_name":"equilibrium asset pricing","score":0.9350000023841858},{"id":"https://openalex.org/keywords/transaction-costs","display_name":"transaction costs","score":0.968999981880188},{"id":"https://openalex.org/keywords/heterogeneous-agents","display_name":"heterogeneous agents","score":0.9409999847412109},{"id":"https://openalex.org/keywords/forward-backward-stochastic-differential-equations","display_name":"forward-backward stochastic differential equations","score":0.9670000076293945},{"id":"https://openalex.org/keywords/illiquidity-discount","display_name":"illiquidity discount","score":0.7919999957084656},{"id":"https://openalex.org/keywords/liquidity-premium","display_name":"liquidity premium","score":0.9739999771118164},{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.5440000295639038},{"id":"https://openalex.org/keywords/uniqueness-of-solutions","display_name":"uniqueness of solutions","score":0.5879999995231628}],"concepts":[{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.7122180461883545},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.6673441529273987},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5566380023956299},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5288991332054138},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5231508016586304},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.4681216776371002},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.45335519313812256},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.44264355301856995},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44262614846229553},{"id":"https://openalex.org/C103382277","wikidata":"https://www.wikidata.org/wiki/Q282640","display_name":"General equilibrium theory","level":2,"score":0.4174310564994812},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.41291525959968567},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.41246891021728516},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.311767041683197},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.1455918252468109},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1088862419128418},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0}],"mesh":[],"locations_count":11,"locations":[{"id":"doi:10.1007/s00780-021-00449-4","doi":"https://doi.org/10.1007/s00780-021-00449-4","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-021-00449-4","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-021-00449-4.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","fnege-2","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.3326085","doi":"https://doi.org/10.2139/ssrn.3326085","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3326085","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:1901.10989","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/1901.10989","pdf_url":"http://arxiv.org/pdf/1901.10989","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:1901.10989","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/1901.10989","pdf_url":"https://arxiv.org/pdf/1901.10989","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:wrap.warwick.ac.uk:145143","doi":null,"is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-021-00449-4","pdf_url":"https://wrap.warwick.ac.uk/id/eprint/145143/7/WRAP-equilbrium-asset-pricing-transaction-costs-Herdegen-2020.pdf","source":{"id":"https://openalex.org/S4306400665","display_name":"Warwick Research Archive Portal (University of Warwick)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I39555362","host_organization_name":"University of Warwick","host_organization_lineage":["https://openalex.org/I39555362"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Journal Article"},{"id":"pmh:oai:www.research-collection.ethz.ch:20.500.11850/477381","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/20.500.11850/477381","pdf_url":"http://hdl.handle.net/20.500.11850/477381","source":{"id":"https://openalex.org/S4306402302","display_name":"Repository for Publications and Research Data (ETH Zurich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I35440088","host_organization_name":"ETH Zurich","host_organization_lineage":["https://openalex.org/I35440088"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Finance and Stochastics, 25 (2)","raw_type":"info:eu-repo/semantics/article"},{"id":"mag:3124751993","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/p/arx/papers/1901.10989.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:HAL:hal-03522246v1","doi":null,"is_oa":false,"landing_page_url":"https://hal.science/hal-03522246","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4405252976","host_organization_name":"Centre pour la Communication Scientifique Directe","host_organization_lineage":["https://openalex.org/I4405252976"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Finance and Stochastics, 2021, 25 (2), pp.231-275. &#x27E8;10.1007/s00780-021-00449-4&#x27E9;","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:spr:finsto:v:25:y:2021:i:2:d:10.1007_s00780-021-00449-4","doi":null,"is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-021-00449-4","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"doi:10.48550/arxiv.1901.10989","doi":"https://doi.org/10.48550/arxiv.1901.10989","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1901.10989","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},{"id":"doi:10.3929/ethz-b-000477381","doi":"https://doi.org/10.3929/ethz-b-000477381","is_oa":true,"landing_page_url":"https://doi.org/10.3929/ethz-b-000477381","pdf_url":null,"source":{"id":"https://openalex.org/S7407051236","display_name":"ETH Z\u00fcrich Research Collection","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.1007/s00780-021-00449-4","doi":"https://doi.org/10.1007/s00780-021-00449-4","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s00780-021-00449-4","pdf_url":"https://link.springer.com/content/pdf/10.1007/s00780-021-00449-4.pdf","source":{"id":"https://openalex.org/S172526255","display_name":"Finance and Stochastics","issn_l":"0949-2984","issn":["0949-2984","1432-1122"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","fnege-2","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321652","display_name":"Eidgen\u00f6ssische Technische Hochschule Z\u00fcrich","ror":"https://ror.org/05a28rw58"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2914522708.pdf","grobid_xml":"https://content.openalex.org/works/W2914522708.grobid-xml"},"referenced_works_count":72,"referenced_works":["https://openalex.org/W38661520","https://openalex.org/W195238294","https://openalex.org/W592962635","https://openalex.org/W1485116192","https://openalex.org/W1485598997","https://openalex.org/W1499550068","https://openalex.org/W1500420188","https://openalex.org/W1551990738","https://openalex.org/W1653619892","https://openalex.org/W1867384272","https://openalex.org/W1901675044","https://openalex.org/W1905934401","https://openalex.org/W1930083487","https://openalex.org/W1981950478","https://openalex.org/W1988270113","https://openalex.org/W2007643734","https://openalex.org/W2012664904","https://openalex.org/W2027827748","https://openalex.org/W2046519558","https://openalex.org/W2050031929","https://openalex.org/W2063996763","https://openalex.org/W2074524292","https://openalex.org/W2079671696","https://openalex.org/W2091541452","https://openalex.org/W2095913825","https://openalex.org/W2098904984","https://openalex.org/W2101564057","https://openalex.org/W2108612093","https://openalex.org/W2112369151","https://openalex.org/W2124148726","https://openalex.org/W2126831439","https://openalex.org/W2129525919","https://openalex.org/W2163139939","https://openalex.org/W2165578097","https://openalex.org/W2170111369","https://openalex.org/W2272350201","https://openalex.org/W2314356572","https://openalex.org/W2471741185","https://openalex.org/W2473912460","https://openalex.org/W2517735824","https://openalex.org/W2524019229","https://openalex.org/W2532731402","https://openalex.org/W2561355996","https://openalex.org/W2585669541","https://openalex.org/W2601956569","https://openalex.org/W2767772518","https://openalex.org/W2782380304","https://openalex.org/W2785876074","https://openalex.org/W2801818840","https://openalex.org/W2890306350","https://openalex.org/W2891257707","https://openalex.org/W2891790148","https://openalex.org/W2943279800","https://openalex.org/W2944429150","https://openalex.org/W2946450462","https://openalex.org/W2953358455","https://openalex.org/W2963357550","https://openalex.org/W2964042010","https://openalex.org/W3003916664","https://openalex.org/W3013600325","https://openalex.org/W3021190191","https://openalex.org/W3121294748","https://openalex.org/W3121497095","https://openalex.org/W3122597312","https://openalex.org/W3122890912","https://openalex.org/W3123718809","https://openalex.org/W3123741483","https://openalex.org/W3123781324","https://openalex.org/W3123884815","https://openalex.org/W3125582541","https://openalex.org/W3126164011","https://openalex.org/W4301021743"],"related_works":["https://openalex.org/W3126164011","https://openalex.org/W2946450462","https://openalex.org/W3154647796","https://openalex.org/W7100549312","https://openalex.org/W4409078385","https://openalex.org/W2590952967","https://openalex.org/W3123781324","https://openalex.org/W3125165024","https://openalex.org/W2904725336","https://openalex.org/W4414107738"],"abstract_inverted_index":{"Abstract":[0],"We":[1,35],"study":[2],"risk-sharing":[3],"economies":[4],"where":[5],"heterogeneous":[6],"agents":[7],"trade":[8],"subject":[9],"to":[10,67],"quadratic":[11],"transaction":[12,72],"costs.":[13],"The":[14],"corresponding":[15],"equilibrium":[16],"asset":[17],"prices":[18],"and":[19,63,74],"trading":[20],"strategies":[21],"are":[22,47],"characterised":[23],"by":[24],"a":[25,38,51,68],"system":[26],"of":[27],"nonlinear,":[28],"fully":[29],"coupled":[30],"forward\u2013backward":[31],"stochastic":[32],"differential":[33],"equations.":[34],"show":[36],"that":[37,43],"unique":[39],"solution":[40],"exists":[41],"provided":[42],"the":[44,58],"agents\u2019":[45],"preferences":[46],"sufficiently":[48],"similar.":[49],"In":[50],"benchmark":[52],"specification":[53],"with":[54],"linear":[55],"state":[56],"dynamics,":[57],"empirically":[59],"observed":[60],"illiquidity":[61],"discounts":[62],"liquidity":[64],"premia":[65],"correspond":[66],"positive":[69],"relationship":[70],"between":[71],"costs":[73],"volatility.":[75]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":1}],"updated_date":"2026-10-25T09:29:13.331239","created_date":"2019-02-21T00:00:00"}
