Equilibrium asset pricing with transaction costs

被引：5

作者：

Herdegen, Martin ^{[1
]}

Muhle-Karbe, Johannes ^{[2
]}

Possamai, Dylan ^{[3
]}

机构：

[1] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England

[2] Imperial Coll London, Dept Math, London SW7 1NE, England

[3] Swiss Fed Inst Technol, Dept Math, Ramistr 101, CH-8092 Zurich, Switzerland

来源：

FINANCE AND STOCHASTICS | 2021年 / 25卷 / 02期

关键词：

Asset pricing; Radner equilibrium; Transaction costs; Forward-backward SDEs; MARKET EQUILIBRIUM; QUADRATIC BSDES; TRADING VOLUME; VOLATILITY; EXISTENCE; EQUATIONS; RETURNS; PRICES; RISK; SDES;

D O I：

10.1007/s00780-021-00449-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study risk-sharing economies where heterogeneous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully coupled forward-backward stochastic differential equations. We show that a unique solution exists provided that the agents' preferences are sufficiently similar. In a benchmark specification with linear state dynamics, the empirically observed illiquidity discounts and liquidity premia correspond to a positive relationship between transaction costs and volatility.

引用

页码：231 / 275

页数：45

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