Vortrag aus Archiv

Equilibrium Asset Pricing with Transaction Costs (joint work with Martin Herdegen)

08.01.2018 16:45 - 17:45

We consider a risk-sharing equilibrium where trading is subject to quadratic transaction costs. In this context, equilibrium asset prices can be characterized by coupled systems of quadratic forward-backward SDEs. Some concrete examples can be solved explicitly, allowing to assess the impact of liquidity on volatility and trading volume.

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