英文标题：
《Existence of a Radner equilibrium in a model with transaction costs》
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作者：
Kim Weston
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最新提交年份：
2018
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英文摘要：
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive exogenous, unspanned income and choose between consumption and investing into an annuity. After establishing the existence of a discrete-time equilibrium, we show that the discrete-time equilibrium converges to a continuous-time equilibrium model. The continuous-time equilibrium provides an explicit formula for the equilibrium interest rate in terms of the transaction cost parameter. We analyze the impact of transaction costs on the equilibrium interest rate and welfare levels.
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中文摘要：
我们证明了在无限时间范围内具有比例交易成本的模型中Radner均衡的存在性，并分析了交易成本对内生利率的影响。两个代理人获得外生的非计划收入，并在消费和投资年金之间进行选择。在建立了离散时间均衡的存在性之后，我们证明了离散时间均衡收敛到一个连续时间均衡模型。连续时间均衡根据交易成本参数为均衡利率提供了一个明确的公式。我们分析了交易成本对均衡利率和福利水平的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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