Existence of a Radner equilibrium in a model with transaction costs K Weston
https://arxiv.org/abs/1702.01706, 2017
20 2017 An incomplete equilibrium with a stochastic annuity K Weston, G Žitković
Finance and Stochastics 24 (2), 359-382, 2020
15 2020 Muckenhoupt's condition and the existence of the optimal martingale measure D Kramkov, K Weston
http://arxiv.org/abs/1507.05865, 2015
12 2015 Price impact equilibrium with transaction costs and TWAP trading E Noh, K Weston
Mathematics and Financial Economics 16 (1), 187-204, 2022
7 2022 Stability of utility maximization in nonequivalent markets K Weston
Finance and Stochastics 20, 511-541, 2016
6 2016 Existence of an equilibrium with limited participation K Weston
Finance and Stochastics 28 (2), 329-361, 2024
5 2024 Endogenous noise trackers in a radner equilibrium JH Choi, K Weston
SIAM Journal on Financial Mathematics 13 (4), 1326-1343, 2022
2 2022 A multi-agent targeted trading equilibrium with transaction costs JH Choi, J Duraj, K Weston
SIAM Journal on Financial Mathematics 15 (1), 161-193, 2024
1 2024 Price impact equilibrium with transaction costs and TWAP trading K Weston, E Noh
2021 Joint Mathematics Meetings (JMM), 0