A Transaction Costs Approach to Financial Assets Rates of Return
نویسندگان
چکیده
منابع مشابه
Transaction Costs in Financial Models
Standard models for nancial markets are based on the simplifying assumption that trading orders can be given and executed in continuous time with no friction. This assumption is clearly a strong idealization of the reality. In particular, securities should not be described by a single price but by a bid and ask curve. As a rst approximation, one may assume that the bid and ask prices do not d...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.238216