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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, 2017Time: 10:00 amLocation: Wean Hall 8220Submitted by: Steve ShreveNote: please note day and time change. |