{"id":"https://openalex.org/W2785876074","doi":"https://doi.org/10.1007/s00780-018-0366-6","title":"Equilibrium returns with transaction costs","display_name":"Equilibrium returns with transaction costs","publication_year":2018,"publication_date":"2018-05-25","ids":{"openalex":"https://openalex.org/W2785876074","doi":"https://doi.org/10.1007/s00780-018-0366-6","mag":"2785876074"},"language":"en","primary_location":{"id":"doi:10.1007/s00780-018-0366-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-018-0366-6","pdf_url":null,"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,"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":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1707.08464","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5030868049","display_name":"Bruno Bouchard","orcid":"https://orcid.org/0000-0002-4716-1253"},"institutions":[{"id":"https://openalex.org/I171048554","display_name":"Centre de Recherche en Math\u00e9matiques de la D\u00e9cision","ror":"https://ror.org/03s0gj002","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I171048554","https://openalex.org/I2746051580","https://openalex.org/I4210141950","https://openalex.org/I56435720"]},{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"funder","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I56435720","display_name":"Universit\u00e9 Paris Dauphine-PSL","ror":"https://ror.org/052bz7812","country_code":"FR","type":"education","lineage":["https://openalex.org/I2746051580","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Bruno Bouchard","raw_affiliation_strings":["PSL, CNRS, UMR [7534], CEREMADE, Universit\u00e9 Paris-Dauphine, 75016, Paris, France"],"affiliations":[{"raw_affiliation_string":"PSL, CNRS, UMR [7534], CEREMADE, Universit\u00e9 Paris-Dauphine, 75016, Paris, France","institution_ids":["https://openalex.org/I56435720","https://openalex.org/I171048554","https://openalex.org/I1294671590"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5006305714","display_name":"Masaaki Fukasawa","orcid":"https://orcid.org/0000-0002-0848-5001"},"institutions":[{"id":"https://openalex.org/I98285908","display_name":"Osaka University","ror":"https://ror.org/035t8zc32","country_code":"JP","type":"education","lineage":["https://openalex.org/I98285908"]},{"id":"https://openalex.org/I69740276","display_name":"Tokyo Metropolitan University","ror":"https://ror.org/00ws30h19","country_code":"JP","type":"education","lineage":["https://openalex.org/I69740276"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Masaaki Fukasawa","raw_affiliation_strings":["Graduate School of Engineering Science, Osaka University, 1-3 Machikayama, Toyonaka, Osaka, Japan","Graduate School of Social Sciences, Tokyo Metropolitan University, 1-4-1 Marunouchi, Tokyo, Japan"],"affiliations":[{"raw_affiliation_string":"Graduate School of Engineering Science, Osaka University, 1-3 Machikayama, Toyonaka, Osaka, Japan","institution_ids":["https://openalex.org/I98285908"]},{"raw_affiliation_string":"Graduate School of Social Sciences, Tokyo Metropolitan University, 1-4-1 Marunouchi, Tokyo, Japan","institution_ids":["https://openalex.org/I69740276"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5005041681","display_name":"Martin Herdegen","orcid":"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"],"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK","institution_ids":["https://openalex.org/I39555362"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5018432446","display_name":"Johannes Muhle\u2010Karbe","orcid":"https://orcid.org/0000-0002-9165-2244"},"institutions":[{"id":"https://openalex.org/I74973139","display_name":"Carnegie Mellon University","ror":"https://ror.org/05x2bcf33","country_code":"US","type":"education","lineage":["https://openalex.org/I74973139"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Johannes Muhle-Karbe","raw_affiliation_strings":["Department of Mathematical Sciences, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA, 15213, USA"],"affiliations":[{"raw_affiliation_string":"Department of Mathematical Sciences, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA, 15213, USA","institution_ids":["https://openalex.org/I74973139"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5018432446"],"corresponding_institution_ids":["https://openalex.org/I74973139"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":null,"fwci":9.6036,"has_fulltext":false,"cited_by_count":51,"citation_normalized_percentile":{"value":0.98137172,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"22","issue":"3","first_page":"569","last_page":"601"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9997000098228455,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9997000098228455,"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/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"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/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9975000023841858,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.8017364740371704},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"Mathematical finance","score":0.607612669467926},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.6064141988754272},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.5463401079177856},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5312176942825317},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.507363498210907},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4983508586883545},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.4395427107810974},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4326326251029968},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.38813892006874084},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3312549591064453},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.3230186104774475},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.24524438381195068},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.21245676279067993},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.20100119709968567}],"concepts":[{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.8017364740371704},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.607612669467926},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6064141988754272},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.5463401079177856},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5312176942825317},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.507363498210907},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4983508586883545},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.4395427107810974},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4326326251029968},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.38813892006874084},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3312549591064453},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.3230186104774475},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.24524438381195068},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.21245676279067993},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.20100119709968567},{"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/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/s00780-018-0366-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00780-018-0366-6","pdf_url":null,"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,"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":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Stochastics","raw_type":"journal-article"},{"id":"pmh:oai:wrap.warwick.ac.uk:101704","is_oa":false,"landing_page_url":null,"pdf_url":null,"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,"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":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"},{"id":"pmh:oai:arXiv.org:1707.08464","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1707.08464","pdf_url":"https://arxiv.org/pdf/1707.08464","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"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":"","raw_type":"text"},{"id":"pmh:oai:RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s00780-018-0366-6","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,"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":"pmh:oai:wrap.warwick.ac.uk:121648","is_oa":false,"landing_page_url":"http://wrap.warwick.ac.uk/121648/","pdf_url":null,"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,"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":"","raw_type":"Journal Article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1707.08464","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1707.08464","pdf_url":"https://arxiv.org/pdf/1707.08464","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"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":"","raw_type":"text"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":53,"referenced_works":["https://openalex.org/W89107295","https://openalex.org/W1483804921","https://openalex.org/W1519525257","https://openalex.org/W1653619892","https://openalex.org/W1718360928","https://openalex.org/W1930083487","https://openalex.org/W1988270113","https://openalex.org/W1997481555","https://openalex.org/W2027827748","https://openalex.org/W2040582618","https://openalex.org/W2042775870","https://openalex.org/W2046519558","https://openalex.org/W2074524292","https://openalex.org/W2095913825","https://openalex.org/W2101564057","https://openalex.org/W2126696639","https://openalex.org/W2127541351","https://openalex.org/W2129525919","https://openalex.org/W2156345381","https://openalex.org/W2163139939","https://openalex.org/W2471741185","https://openalex.org/W2505257925","https://openalex.org/W2517735824","https://openalex.org/W2524019229","https://openalex.org/W2551189996","https://openalex.org/W2561355996","https://openalex.org/W2590374236","https://openalex.org/W2590952967","https://openalex.org/W2782380304","https://openalex.org/W2797315706","https://openalex.org/W2891257707","https://openalex.org/W2963357550","https://openalex.org/W3021190191","https://openalex.org/W3028434020","https://openalex.org/W3121497095","https://openalex.org/W3121572850","https://openalex.org/W3121743528","https://openalex.org/W3122043345","https://openalex.org/W3122803519","https://openalex.org/W3122890912","https://openalex.org/W3123091826","https://openalex.org/W3123177402","https://openalex.org/W3123296813","https://openalex.org/W3123375745","https://openalex.org/W3123583422","https://openalex.org/W3123718809","https://openalex.org/W3123781324","https://openalex.org/W3125712704","https://openalex.org/W3125973117","https://openalex.org/W3125981747","https://openalex.org/W3126091106","https://openalex.org/W4233548378","https://openalex.org/W4301021743"],"related_works":["https://openalex.org/W1554714919","https://openalex.org/W3141949298","https://openalex.org/W3121451284","https://openalex.org/W2799727225","https://openalex.org/W3125208732","https://openalex.org/W188380163","https://openalex.org/W3123400712","https://openalex.org/W3125349967","https://openalex.org/W2950350022","https://openalex.org/W2033864244"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":6},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":9},{"year":2019,"cited_by_count":7},{"year":2018,"cited_by_count":9},{"year":2017,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}