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- Choi, Jin Hyuk
- Mathematical Finance Lab.
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| DC Field | Value | Language |
|---|---|---|
| dc.citation.endPage | 340 | - |
| dc.citation.number | 2 | - |
| dc.citation.startPage | 305 | - |
| dc.citation.title | FINANCE AND STOCHASTICS | - |
| dc.citation.volume | 27 | - |
| dc.contributor.author | Chen, Xiao | - |
| dc.contributor.author | Choi, Jin Hyuk | - |
| dc.contributor.author | Larsen, Kasper | - |
| dc.contributor.author | Seppi, Duane J. | - |
| dc.date.accessioned | 2023-12-21T12:44:06Z | - |
| dc.date.available | 2023-12-21T12:44:06Z | - |
| dc.date.created | 2023-02-08 | - |
| dc.date.issued | 2023-04 | - |
| dc.description.abstract | We prove global existence of a continuous-time Nash equilibrium with endogenous persistent and exogenous temporary price impact. Relative to the analogous Radner and Pareto-efficient equilibria, the Nash equilibrium has a lower interest rate but has similar Sharpe ratios and stock-return volatility. | - |
| dc.identifier.bibliographicCitation | FINANCE AND STOCHASTICS, v.27, no.2, pp.305 - 340 | - |
| dc.identifier.doi | 10.1007/s00780-023-00499-w | - |
| dc.identifier.issn | 0949-2984 | - |
| dc.identifier.scopusid | 2-s2.0-85150510501 | - |
| dc.identifier.uri | https://scholarworks.unist.ac.kr/handle/201301/62013 | - |
| dc.identifier.wosid | 000957100400002 | - |
| dc.language | 영어 | - |
| dc.publisher | Springer Verlag | - |
| dc.title | Price impact in Nash equilibria | - |
| dc.type | Article | - |
| dc.description.isOpenAccess | FALSE | - |
| dc.relation.journalWebOfScienceCategory | Business, Finance;Mathematics, Interdisciplinary Applications;Social Sciences, Mathematical Methods;Statistics & Probability | - |
| dc.relation.journalResearchArea | Business & Economics;Mathematics;Mathematical Methods In Social Sciences | - |
| dc.type.docType | Article | - |
| dc.description.journalRegisteredClass | scie | - |
| dc.description.journalRegisteredClass | ssci | - |
| dc.description.journalRegisteredClass | scopus | - |
| dc.subject.keywordAuthor | Asset pricing | - |
| dc.subject.keywordAuthor | Price impact | - |
| dc.subject.keywordAuthor | Nash equilibrium | - |
| dc.subject.keywordAuthor | Radner equilibrium | - |
| dc.subject.keywordAuthor | Pareto-efficient equilibrium | - |
| dc.subject.keywordPlus | RADNER EQUILIBRIUM | - |
| dc.subject.keywordPlus | EQUITY PREMIUM | - |
| dc.subject.keywordPlus | SECURITIES MARKETS | - |
| dc.subject.keywordPlus | RARE DISASTERS | - |
| dc.subject.keywordPlus | CONSUMPTION | - |
| dc.subject.keywordPlus | RISK | - |
| dc.subject.keywordPlus | MODEL | - |
| dc.subject.keywordPlus | INFORMATION | - |
| dc.subject.keywordPlus | RESOLUTION | - |
| dc.subject.keywordPlus | CHOICE | - |
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