Dec 22, 2016 from 10:15 AM to 11:45 AM

Abstract:

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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