英文标题：
《Equilibrium Asset Pricing with Transaction Costs》
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作者：
Martin Herdegen, Johannes Muhle-Karbe, Dylan Possama\\\"i
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最新提交年份：
2020
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英文摘要：
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled forward-backward stochastic differential equations. We show that a unique solution generally exists provided that the agents\' preferences are sufficiently similar. In a benchmark specification with linear state dynamics, the illiquidity discounts and liquidity premia observed empirically correspond to a positive relationship between transaction costs and volatility.
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中文摘要：
我们研究了风险分担经济，其中异质代理人在二次交易成本下进行交易。相应的均衡资产价格和交易策略由一个非线性、完全耦合的正倒向随机微分方程系统描述。我们表明，如果代理的偏好足够相似，则通常存在唯一的解决方案。在具有线性状态动力学的基准规范中，根据经验观察到的非流动性折扣和流动性溢价与交易成本和波动性之间的正关系相对应。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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