Mathematisches Seminar

Dr. Johannes Muhle-Karbe, University Michigan: "Equilibrium Liquidity Premia"

22.12.2016 von 10:15 bis 11:45

LMS 4 - Raum 526 - Übungsraum


In a continuous-time model with mean-variance investors and quadratic transaction costs, we show that the equilibrium expected return can be characterized as the solution of a system of coupled but linear forward-backward stochastic differential equations. Explicit formulas obtain in the small-cost limit, which allow to assess the comparative statics of equilibrium liquidity premia. (Joint work with Masaaki Fukasawa and Martin Herdegen)


Einladender: J. Kallsen

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