16 citations · 16 across the 6 of their papers we have counts for
Showing q-fin.PMShow all
2 papers · 1 filter
q-fin.PM2019
Equilibrium Asset Pricing with Transaction Costs
Martin Herdegen, Johannes Muhle-Karbe, Dylan Possamaï
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are charac…
q-fin.PM2017
Equilibrium Returns with Transaction Costs
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen +1
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…