英文标题：
《Equilibrium Returns with Transaction Costs》
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作者：
Bruno Bouchard (CEREMADE), Masaaki Fukasawa, Martin Herdegen, Johannes
Muhle-Karbe
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最新提交年份：
2018
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英文摘要：
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The corresponding equilibrium is characterized as the unique solution of a system of coupled but linear forward-backward stochastic differential equations. Explicit solutions are obtained in a number of concrete settings. The sluggishness of the frictional portfolios makes the corresponding equilibrium returns mean-reverting. Compared to the frictionless case, expected returns are higher if the more risk-averse agents are net sellers or if the asset supply expands over time.
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中文摘要：
我们研究交易成本如何反映在均衡回报中。为此，我们开发了一个可处理的连续时间风险分担模型，其中异质均值-方差投资者在二次交易成本下进行交易。相应的平衡点被描述为耦合的线性正倒向随机微分方程组的唯一解。在许多具体情况下可获得显式解。摩擦投资组合的迟滞使得相应的均衡收益均值回复。与无摩擦情况相比，如果风险厌恶程度更高的代理是净卖家，或者如果资产供应随时间增长，预期回报更高。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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