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Probability and Computational Finance Seminar
Johannes Muhle-Karbe
University of Michigan
Title: Equilibrium Liquidity Premia

Abstract: In a continuous-time model with mean-variance investors, we discuss how transaction costs are reflected in equilibrium returns. This leads to a system of coupled but linear forward-backward stochastic differential equations, which can be solved explicitly for a number of special cases and in the small-cost limit.

(Joint work with Bruno Bouchard, Masaaki Fukasawa, and Martin Herdegen)

Date: Friday, March 17, 2017
Time: 10:00 am
Location: Wean Hall 8220
Submitted by:  Steve Shreve
Note: please note day and time change.