Equilibrium Liquidity Premia - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2017

Equilibrium Liquidity Premia

Résumé

We study equilibrium returns in a continuous-time model where heterogeneous mean-variance investors trade subject to quadratic transaction costs. The unique equilibrium is characterized by a system of coupled but linear forward-backward stochastic differential equations. Explicit solutions obtain in a number of concrete settings. The corresponding liquidity premia compared to the frictionless case are mean reverting; they are positive if the more risk-averse agents are net sellers or if the asset supply expands over time.
Fichier principal
Vignette du fichier
BFHM17.pdf (327.11 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01569408 , version 1 (26-07-2017)
hal-01569408 , version 2 (14-09-2017)
hal-01569408 , version 3 (05-04-2018)

Identifiants

Citer

Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe. Equilibrium Liquidity Premia. 2017. ⟨hal-01569408v1⟩
293 Consultations
427 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More