{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,6,1]],"date-time":"2026-06-01T18:00:31Z","timestamp":1780336831352,"version":"3.54.1"},"reference-count":49,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2018,5,25]],"date-time":"2018-05-25T00:00:00Z","timestamp":1527206400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2018,7]]},"DOI":"10.1007\/s00780-018-0366-6","type":"journal-article","created":{"date-parts":[[2018,5,25]],"date-time":"2018-05-25T05:55:21Z","timestamp":1527227721000},"page":"569-601","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":42,"title":["Equilibrium returns with transaction costs"],"prefix":"10.1007","volume":"22","author":[{"given":"Bruno","family":"Bouchard","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Masaaki","family":"Fukasawa","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Martin","family":"Herdegen","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Johannes","family":"Muhle-Karbe","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2018,5,25]]},"reference":[{"issue":"2","key":"366_CR1","first-page":"5","volume":"3","author":"R.F. Almgren","year":"2000","unstructured":"Almgren, R.F., Chriss, N.: Optimal execution of portfolio transactions. J.\u00a0Risk 3(2), 5\u201339 (2000)","journal-title":"J.\u00a0Risk"},{"key":"366_CR2","doi-asserted-by":"publisher","DOI":"10.1142\/S2382626616500027","volume":"2","author":"R.F. Almgren","year":"2016","unstructured":"Almgren, R.F., Li, T.M.: Option hedging with smooth market impact. Mark. Microstruct. Liq. 2, 1650002 (2016)","journal-title":"Mark. Microstruct. Liq."},{"key":"366_CR3","doi-asserted-by":"publisher","first-page":"223","DOI":"10.1016\/0304-405X(86)90065-6","volume":"17","author":"Y. Amihud","year":"1986","unstructured":"Amihud, Y., Mendelson, H.: Asset pricing and the bid-ask spread. J.\u00a0Financ. Econ. 17, 223\u2013249 (1986)","journal-title":"J.\u00a0Financ. Econ."},{"key":"366_CR4","doi-asserted-by":"publisher","first-page":"323","DOI":"10.1007\/s11579-017-0183-2","volume":"11","author":"M. Anthropelos","year":"2017","unstructured":"Anthropelos, M.: The effect of market power on risk sharing. Math. Financ. Econ. 11, 323\u2013368 (2017)","journal-title":"Math. Financ. Econ."},{"key":"366_CR5","doi-asserted-by":"publisher","first-page":"215","DOI":"10.1007\/s11579-016-0178-4","volume":"11","author":"P. Bank","year":"2017","unstructured":"Bank, P., Soner, M., Vo\u00df, M.: Hedging with temporary price impact. Math. Financ. Econ. 11, 215\u2013239 (2017)","journal-title":"Math. Financ. Econ."},{"key":"366_CR6","doi-asserted-by":"publisher","first-page":"672","DOI":"10.1137\/16M1104597","volume":"56","author":"P. Bank","year":"2018","unstructured":"Bank, P., Vo\u00df, M.: Linear quadratic stochastic control problems with singular stochastic terminal constraint. SIAM J. Control Optim. 56, 672\u2013699 (2018)","journal-title":"SIAM J. Control Optim."},{"key":"366_CR7","doi-asserted-by":"publisher","first-page":"441","DOI":"10.1016\/0304-405X(95)00870-K","volume":"41","author":"M.J. Brennan","year":"1996","unstructured":"Brennan, M.J., Subrahmanyam, A.: Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. J.\u00a0Financ. Econ. 41, 441\u2013464 (1996)","journal-title":"J.\u00a0Financ. Econ."},{"key":"366_CR8","unstructured":"Buss, A., Dumas, B.: The dynamic properties of financial-market equilibrium with trading fees. J. Finance (2017). To appear. Available online at \n                    https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=1785265"},{"key":"366_CR9","unstructured":"Buss, A., Uppal, R., Vilkov, G.: Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs. Preprint (2013). Available online at \n                    https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2366296"},{"key":"366_CR10","doi-asserted-by":"publisher","first-page":"760","DOI":"10.1137\/16M1058406","volume":"7","author":"\u00c1. Cartea","year":"2016","unstructured":"Cartea, \u00c1., Jaimungal, S.: A closed-form execution strategy to target volume weighted average price. SIAM J. Financ. Math. 7, 760\u2013785 (2016)","journal-title":"SIAM J. Financ. Math."},{"key":"366_CR11","doi-asserted-by":"publisher","first-page":"653","DOI":"10.1007\/s00780-015-0268-9","volume":"19","author":"J.H. Choi","year":"2015","unstructured":"Choi, J.H., Larsen, K.: Taylor approximation of incomplete Radner equilibrium models. Finance Stoch. 19, 653\u2013679 (2015)","journal-title":"Finance Stoch."},{"key":"366_CR12","doi-asserted-by":"publisher","first-page":"247","DOI":"10.1093\/rapstu\/rau004","volume":"4","author":"P.O. Christensen","year":"2014","unstructured":"Christensen, P.O., Larsen, K.: Incomplete continuous-time securities markets with stochastic income volatility. Rev. Asset Pricing Stud. 4, 247\u2013285 (2014)","journal-title":"Rev. Asset Pricing Stud."},{"key":"366_CR13","doi-asserted-by":"publisher","first-page":"842","DOI":"10.1086\/261410","volume":"94","author":"G.M. Constantinides","year":"1986","unstructured":"Constantinides, G.M.: Capital market equilibrium with transaction costs. J.\u00a0Polit. Econ. 94, 842\u2013862 (1986)","journal-title":"J.\u00a0Polit. Econ."},{"key":"366_CR14","doi-asserted-by":"publisher","first-page":"368","DOI":"10.1287\/mnsc.2014.2116","volume":"62","author":"M. Dai","year":"2016","unstructured":"Dai, M., Li, P., Liu, H., Wang, Y.: Portfolio choice with market closure and implications for liquidity premia. Manag. Sci. 62, 368\u2013386 (2016)","journal-title":"Manag. Sci."},{"key":"366_CR15","doi-asserted-by":"publisher","first-page":"209","DOI":"10.1016\/S0304-4149(02)00085-6","volume":"99","author":"F. Delarue","year":"2002","unstructured":"Delarue, F.: On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case. Stoch. Process. Appl. 99, 209\u2013286 (2002)","journal-title":"Stoch. Process. Appl."},{"key":"366_CR16","doi-asserted-by":"publisher","DOI":"10.1137\/1.9781611971088","volume-title":"Convex Analysis and Variational Problems","author":"I. Ekeland","year":"1999","unstructured":"Ekeland, I., Temam, R.: Convex Analysis and Variational Problems. SIAM, Philadelphia (1999)"},{"key":"366_CR17","doi-asserted-by":"publisher","first-page":"2309","DOI":"10.1111\/jofi.12080","volume":"68","author":"N. G\u00e2rleanu","year":"2013","unstructured":"G\u00e2rleanu, N., Pedersen, L.H.: Dynamic trading with predictable returns and transaction costs. J.\u00a0Finance 68, 2309\u20132340 (2013)","journal-title":"J.\u00a0Finance"},{"key":"366_CR18","doi-asserted-by":"publisher","first-page":"487","DOI":"10.1016\/j.jet.2016.06.001","volume":"165","author":"N. G\u00e2rleanu","year":"2016","unstructured":"G\u00e2rleanu, N., Pedersen, L.H.: Dynamic portfolio choice with frictions. J.\u00a0Econ. Theory 165, 487\u2013516 (2016)","journal-title":"J.\u00a0Econ. Theory"},{"key":"366_CR19","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1007\/s00780-013-0210-y","volume":"18","author":"S. Gerhold","year":"2014","unstructured":"Gerhold, S., Guasoni, P., Muhle-Karbe, J., Schachermayer, W.: Transaction costs, trading volume, and the liquidity premium. Finance Stoch. 18, 1\u201337 (2014)","journal-title":"Finance Stoch."},{"issue":"2","key":"366_CR20","first-page":"5","volume":"4","author":"R. Grinold","year":"2006","unstructured":"Grinold, R.: A dynamic model of portfolio management. J.\u00a0Invest. Manag. 4(2), 5\u201322 (2006)","journal-title":"J.\u00a0Invest. Manag."},{"key":"366_CR21","unstructured":"Guasoni, P., Weber, M.: Rebalancing multiple assets with mutual price impact. Preprint (2015). Available online at \n                    https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2564624"},{"key":"366_CR22","doi-asserted-by":"publisher","first-page":"313","DOI":"10.1111\/mafi.12099","volume":"27","author":"P. Guasoni","year":"2017","unstructured":"Guasoni, P., Weber, M.: Dynamic trading volume. Math. Finance 27, 313\u2013349 (2017)","journal-title":"Math. Finance"},{"key":"366_CR23","doi-asserted-by":"publisher","first-page":"443","DOI":"10.1086\/262030","volume":"104","author":"J. Heaton","year":"1993","unstructured":"Heaton, J., Lucas, D.: Evaluating the effects of incomplete markets on risk sharing and asset pricing. J.\u00a0Polit. Econ. 104, 443\u2013487 (1993)","journal-title":"J.\u00a0Polit. Econ."},{"key":"366_CR24","doi-asserted-by":"publisher","first-page":"443","DOI":"10.1007\/s00780-018-0354-x","volume":"22","author":"M. Herdegen","year":"2018","unstructured":"Herdegen, M., Muhle-Karbe, J.: Stability of Radner equilibria with respect to small frictions. Finance Stoch. 22, 443\u2013502 (2018)","journal-title":"Finance Stoch."},{"key":"366_CR25","doi-asserted-by":"publisher","DOI":"10.1137\/1.9780898717778","volume-title":"Functions of Matrices","author":"N.J. Higham","year":"2008","unstructured":"Higham, N.J.: Functions of Matrices. SIAM, Philadelphia (2008)"},{"key":"366_CR26","doi-asserted-by":"publisher","first-page":"2329","DOI":"10.1111\/j.1540-6261.2007.01277.x","volume":"62","author":"B.-G. Jang","year":"2007","unstructured":"Jang, B.-G., Koo, K., Liu, H., Loewenstein, M.: Liquidity premia and transaction costs. J.\u00a0Finance 62, 2329\u20132366 (2007)","journal-title":"J.\u00a0Finance"},{"key":"366_CR27","doi-asserted-by":"publisher","first-page":"659","DOI":"10.1111\/mafi.12106","volume":"27","author":"J. Kallsen","year":"2017","unstructured":"Kallsen, J., Muhle-Karbe, J.: The general structure of optimal investment and consumption with small transaction costs. Math. Finance 27, 659\u2013703 (2017)","journal-title":"Math. Finance"},{"key":"366_CR28","doi-asserted-by":"publisher","DOI":"10.1007\/b98840","volume-title":"Methods of Mathematical Finance","author":"I. Karatzas","year":"1998","unstructured":"Karatzas, I., Shreve, S.E.: Methods of Mathematical Finance. Springer, New York (1998)"},{"key":"366_CR29","unstructured":"Kardaras, C., Xing, H., \u017ditkovi\u0107, G.: Incomplete stochastic equilibria for dynamic monetary utility. Preprint (2017). Available online at \n                    https:\/\/arxiv.org\/abs\/1505.07224"},{"key":"366_CR30","doi-asserted-by":"publisher","first-page":"141","DOI":"10.1093\/rfs\/9.1.141","volume":"9","author":"T. Kim","year":"1996","unstructured":"Kim, T., Omberg, E.: Dynamic nonmyopic portfolio behavior. Rev. Financ. Stud. 9, 141\u2013161 (1996)","journal-title":"Rev. Financ. Stud."},{"key":"366_CR31","doi-asserted-by":"publisher","first-page":"255","DOI":"10.1016\/S0304-4149(01)00133-8","volume":"97","author":"M. Kohlmann","year":"2002","unstructured":"Kohlmann, M., Tang, S.: Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean\u2013variance hedging. Stoch. Process. Appl. 97, 255\u2013288 (2002)","journal-title":"Stoch. Process. Appl."},{"key":"366_CR32","doi-asserted-by":"publisher","first-page":"1054","DOI":"10.1086\/422565","volume":"112","author":"A.W. Lo","year":"2004","unstructured":"Lo, A.W., Mamaysky, H., Wang, J.: Optimal execution with nonlinear impact functions and trading-enhanced risk. J.\u00a0Polit. Econ. 112, 1054\u20131090 (2004)","journal-title":"J.\u00a0Polit. Econ."},{"key":"366_CR33","doi-asserted-by":"publisher","first-page":"1329","DOI":"10.1111\/j.1540-6261.2011.01662.x","volume":"66","author":"A.W. Lynch","year":"2011","unstructured":"Lynch, A.W., Tan, S.: Explaining the magnitude of liquidity premia: the roles of return predictability, wealth shocks, and state-dependent transaction costs. J.\u00a0Finance 66, 1329\u20131368 (2011)","journal-title":"J.\u00a0Finance"},{"key":"366_CR34","first-page":"54","volume":"August","author":"R. Martin","year":"2014","unstructured":"Martin, R.: Optimal trading under proportional transaction costs. Risk August, 54\u201359 (2014)","journal-title":"Risk"},{"key":"366_CR35","first-page":"96","volume":"February","author":"R. Martin","year":"2011","unstructured":"Martin, R., Sch\u00f6neborn, T.: Mean reversion pays, but costs. Risk February, 96\u2013101 (2011)","journal-title":"Risk"},{"key":"366_CR36","doi-asserted-by":"publisher","first-page":"350","DOI":"10.1111\/mafi.12098","volume":"27","author":"L. Moreau","year":"2017","unstructured":"Moreau, L., Muhle-Karbe, J., Soner, H.M.: Trading with small price impact. Math. Finance 27, 350\u2013400 (2017)","journal-title":"Math. Finance"},{"key":"366_CR37","doi-asserted-by":"publisher","first-page":"642","DOI":"10.1086\/374184","volume":"111","author":"L. P\u00e1stor","year":"2003","unstructured":"P\u00e1stor, L., Stambaugh, R.F.: Liquidity risk and expected stock returns. J.\u00a0Polit. Econ. 111, 642\u2013685 (2003)","journal-title":"J.\u00a0Polit. Econ."},{"key":"366_CR38","unstructured":"Sannikov, Y., Skrzypacz, A.: Dynamic trading: price inertia and front-running. Preprint (2016). Available online at \n                    https:\/\/web.stanford.edu\/~skrz\/Dynamic_Trading.pdf"},{"key":"366_CR39","doi-asserted-by":"publisher","first-page":"471","DOI":"10.1080\/13504860903565050","volume":"17","author":"A. Schied","year":"2010","unstructured":"Schied, A., Sch\u00f6neborn, T., Tehranchi, M.: Optimal basket liquidation for CARA investors is deterministic. Appl. Math. Finance 17, 471\u2013489 (2010)","journal-title":"Appl. Math. Finance"},{"key":"366_CR40","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4419-7683-3","volume-title":"Matrices","author":"D. Serre","year":"2010","unstructured":"Serre, D.: Matrices, 2nd edn. Springer, New York (2010)","edition":"2"},{"issue":"501","key":"366_CR41","doi-asserted-by":"publisher","first-page":"460","DOI":"10.2307\/3620776","volume":"84","author":"J.R. Silvester","year":"2000","unstructured":"Silvester, J.R.: Determinants of block matrices. Math. Gaz. 84(501), 460\u2013467 (2000)","journal-title":"Math. Gaz."},{"key":"366_CR42","doi-asserted-by":"publisher","first-page":"2893","DOI":"10.1137\/120870165","volume":"51","author":"H. Soner","year":"2013","unstructured":"Soner, H., Touzi, N.: Homogenization and asymptotics for small transaction costs. SIAM J. Control Optim. 51, 2893\u20132921 (2013)","journal-title":"SIAM J. Control Optim."},{"key":"366_CR43","first-page":"81","volume":"71","author":"A. Subrahmanyam","year":"1998","unstructured":"Subrahmanyam, A.: Transaction taxes and financial market equilibrium. J.\u00a0Bus. 71, 81\u2013118 (1998)","journal-title":"J.\u00a0Bus."},{"key":"366_CR44","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1093\/rfs\/11.1.1","volume":"11","author":"D. Vayanos","year":"1998","unstructured":"Vayanos, D.: Transaction costs and asset prices: a\u00a0dynamic equilibrium model. Rev. Financ. Stud. 11, 1\u201358 (1998)","journal-title":"Rev. Financ. Stud."},{"key":"366_CR45","doi-asserted-by":"publisher","first-page":"509","DOI":"10.1007\/s001990050268","volume":"13","author":"D. Vayanos","year":"1999","unstructured":"Vayanos, D., Vila, J.-L.: Equilibrium interest rate and liquidity premium with transaction costs. Econ. Theory 13, 509\u2013539 (1999)","journal-title":"Econ. Theory"},{"key":"366_CR46","doi-asserted-by":"publisher","first-page":"63","DOI":"10.2307\/3594995","volume":"37","author":"J.A. Wachter","year":"2002","unstructured":"Wachter, J.A.: Portfolio and consumption decisions under mean-reverting returns: an\u00a0exact solution for complete markets. J.\u00a0Financ. Quant. Anal. 37, 63\u201391 (2002)","journal-title":"J.\u00a0Financ. Quant. Anal."},{"key":"366_CR47","unstructured":"Weston, K.: Existence of a Radner equilibrium in a model with transaction costs. Math. Fin. Econ. (2017). To appear. Available online at \n                    https:\/\/arxiv.org\/abs\/1702.01706"},{"key":"366_CR48","doi-asserted-by":"publisher","first-page":"491","DOI":"10.1214\/17-AOP1190","volume":"46","author":"H. Xing","year":"2018","unstructured":"Xing, H., \u017ditkovi\u0107, G.: A class of globally solvable Markovian quadratic BSDE systems and applications. Ann. Probab. 46, 491\u2013550 (2018)","journal-title":"Ann. Probab."},{"key":"366_CR49","doi-asserted-by":"publisher","first-page":"177","DOI":"10.1007\/s00780-011-0161-0","volume":"16","author":"G. \u017ditkovi\u0107","year":"2012","unstructured":"\u017ditkovi\u0107, G.: An example of a stochastic equilibrium with incomplete markets. Finance Stoch. 16, 177\u2013206 (2012)","journal-title":"Finance Stoch."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-018-0366-6\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-018-0366-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-018-0366-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,24]],"date-time":"2019-05-24T19:10:19Z","timestamp":1558725019000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-018-0366-6"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,5,25]]},"references-count":49,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2018,7]]}},"alternative-id":["366"],"URL":"https:\/\/doi.org\/10.1007\/s00780-018-0366-6","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,5,25]]},"assertion":[{"value":"13 September 2017","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"29 March 2018","order":2,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"25 May 2018","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}