Asset pricing with heterogeneous beliefs and illiquidity

DOI10.1111/MAFI.12268OpenAlexW3017374711MaRDI QIDQ5855961

Johannes Muhle-Karbe, Marcel Nutz, Xiaowei Tan

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.05730

zbMATH Keywords

equilibriumheterogeneous beliefsliquidity

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (4)

Conditions for bubbles to arise under heterogeneous beliefs ⋮ Liquidity in competitive dealer markets ⋮ Insurance pricing in an equilibrium model ⋮ Equilibrium asset pricing with transaction costs

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