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Long horizons, high risk aversion, and endogenous spreads. (English) Zbl 1418.91472

The paper examines the behaviour of exponential utility investors over a long horizon and with small transaction costs, and the choice of a profit maximizing spread by a risk-neutral, monopolistic market maker.

MSC:

91G10 Portfolio theory
93E20 Optimal stochastic control
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References:

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