“…The size of the bid-ask spreads for realistic values of transaction costs has been discussed, e.g., by Zhao and Ziemba [75,76] and Leland [49]. An important role in establishing the field was played by the work of Jouini and Kallal [38], Pham and Touzi [61], Kabanov [39], Koehl et al [45,46], Cadenillas and Pliska [10], Cadenillas [9], Chalasani and Jha [12], Akian et al [1], Bouchard and Touzi [7], Delbaen and Kabanov [16], Kabanov et al [40], Janeček and Shreve [32], De Valliere and Kabanov [19], Liu and Loewenstein [51], Jacka and Berkaoui [36], Jacka et al [37], Guasoni et al [29], Albanese and Tompaidis [2], and others. For a comprehensive review of this literature we refer to the monograph "Markets with Transaction Costs" by Kabanov and Safarian [42].…”