Equilibrium Returns with Transaction Costs


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... [ view full abstract ]


  1. Martin Herdegen (University of Warwick)
  2. Johannes Muhle-Karbe (Carnegie Mellon University)
  3. Bruno Bouchard (University of Paris-Dauphine)
  4. Masaaki Fukasawa (Osaka University)

Topic Areas

Backward Stochastic Differential Equations , Equilibrium Models , Transaction Costs


TH-P-UI » Equilibria: Bubbles and Transaction Costs (14:30 - Thursday, 19th July, Ui Chadhain)

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