Equilibrium returns with transaction costs
Equilibrium returns with transaction costs
复制标题
回报与交易成本的均衡
DOI：
10.1007/s00780-018-0366-6
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发表时间：
2018
影响因子：
1.7
通讯作者：
Muhle-Karbe Johannes
中科院分区：
文献类型：
--
作者：
Bouchard Bruno;Fukasawa Masaaki;Herdegen Martin;Muhle-Karbe Johannes
我们研究交易成本如何反映在均衡收益中。为此，我们开发了一个易处理的连续时间风险分担模型，其中异质均值方差投资者交易受到二次交易成本。相应的平衡被描述为耦合但线性的向前-向后随机微分方程系统的唯一解。在一些具体的设置获得显式的解决方案。摩擦投资组合的滞后性使得相应的均衡收益率均值回复。与无摩擦的情况相比，如果更厌恶风险的代理人是净卖家，或者如果资产供应随着时间的推移而扩大，则预期收益会更高。
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.