
The Library
Stability of Radner Equilibria with respect to small frictions
Tools
Herdegen, Martin and Muhle-Karbe, Johannes (2018) Stability of Radner Equilibria with respect to small frictions. Finance and Stochastics, 22 . pp. 443-502. doi:10.1007/s00780-018-0354-x ISSN 0949-2984.
|
PDF
WRAP-stability-Radner-Equilibria-respect-frictions-Herdegen-2017.pdf - Accepted Version - Requires a PDF viewer. Download (1286Kb) | Preview |
Official URL: https://doi.org/10.1007/s00780-018-0354-x
Abstract
We study risk-sharing equilibria with trading subject to small proportional transaction costs. We show that the frictionless equilibrium prices also form an "asymptotic equilibrium" in the small-cost limit. To wit, there exist asymptotically optimal policies for all agents and a split of the trading cost according to their risk aversions for which the frictionless equilibrium prices still clear the market. Starting from a frictionless equilibrium, this allows to study the interplay of volatility, liquidity, and trading volume.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HB Economic Theory | ||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||
Library of Congress Subject Headings (LCSH): | Computable general equilibrium models, Transaction costs -- Taxation | ||||||||
Journal or Publication Title: | Finance and Stochastics | ||||||||
Publisher: | Springer | ||||||||
ISSN: | 0949-2984 | ||||||||
Official Date: | April 2018 | ||||||||
Dates: |
|
||||||||
Volume: | 22 | ||||||||
Page Range: | pp. 443-502 | ||||||||
DOI: | 10.1007/s00780-018-0354-x | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 28 November 2017 | ||||||||
Date of first compliant Open Access: | 21 February 2019 | ||||||||
RIOXX Funder/Project Grant: |
|
||||||||
Open Access Version: |
Request changes or add full text files to a record
Repository staff actions (login required)
![]() |
View Item |
Downloads
Downloads per month over past year