Equilibrium asset pricing with transaction costs

DOI10.1007/s00780-021-00449-4zbMath1461.91327arXiv1901.10989OpenAlexW3135261833MaRDI QIDQ2022762

Johannes Muhle-Karbe, Martin Herdegen, Dylan Possamaï

Publication date: 29 April 2021

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

Full work available at URL: https://arxiv.org/abs/1901.10989

zbMATH Keywords

asset pricingtransaction costsforward-backward SDEsradner equilibrium

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial markets (91G15)

Related Items (4)

Dynamic mean-variance problem with frictions ⋮ Asset pricing with general transaction costs: Theory and numerics ⋮ Liquidity in competitive dealer markets ⋮ Mean field portfolio games

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