英文标题：
《Asset Pricing with Heterogeneous Beliefs and Illiquidity》
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作者：
Johannes Muhle-Karbe, Marcel Nutz, Xiaowei Tan
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最新提交年份：
2020
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英文摘要：
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset\'s payoff. We propose a tractable model where agents maximize expected returns under quadratic costs on inventories and trading rates. The unique equilibrium price is characterized by a weakly coupled system of linear parabolic equations which shows that holding and liquidity costs play dual roles. We derive the leading-order asymptotics for small transaction and holding costs which give further insight into the equilibrium and the consequences of illiquidity.
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中文摘要：
本文研究了在N个代理之间连续交易的资产的均衡价格，这些代理对资产收益的状态过程有不同的信念。我们提出了一个易于处理的模型，在此模型中，在二次库存成本和交易率的情况下，代理可以最大化预期收益。唯一均衡价格的特征是一个弱耦合的线性抛物方程组，这表明持有成本和流动性成本具有双重作用。我们推导了小交易和持有成本的领先阶渐近式，从而进一步深入了解了均衡和非流动性的后果。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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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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