Stability of Radner equilibria with respect to small frictions

DOI10.1007/s00780-018-0354-xzbMath1416.91349OpenAlexW2590952967MaRDI QIDQ1709608

Johannes Muhle-Karbe, Martin Herdegen

Publication date: 6 April 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/95492/7/WRAP-stability-Radner-Equilibria-respect-frictions-Herdegen-2017.pdf

zbMATH Keywords

stochastic differential equationstransaction costsRadner equilibriumstochastic volatility modelsasymptotic optimizationfinancial market models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General equilibrium theory (91B50) Portfolio theory (91G10) Heterogeneous agent models (91B69)

Related Items (10)

Price impact equilibrium with transaction costs and TWAP trading ⋮ Equilibrium returns with transaction costs ⋮ Existence of a Radner equilibrium in a model with transaction costs ⋮ Simple bounds for utility maximization with small transaction costs ⋮ Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case ⋮ Trading with small nonlinear price impact ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Scaling limits of processes with fast nonlinear mean reversion ⋮ Sensitivity of optimal consumption streams

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