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- W3125996968 abstract "We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their frictionless counterparts - the deviation has Ornstein-Uhlenbeck dynamics for quadratic costs whereas it follows a doubly-reflected Brownian motion if costs are proportional. More general models with arbitrary state dynamics and endogenous volatilities lead to multidimensional systems of nonlinear, fully-coupled forward-backward SDEs. These fall outside the scope of known wellposedness results, but can be solved numerically using the simulation-based deep-learning approach of Han, Jentzen and E (2018). In a calibration to time series of prices and trading volume, realistic liquidity premia are accompanied by a moderate increase in volatility. The effects of different cost specifications are rather similar, justifying the use of quadratic costs as a proxy for other less tractable specifications." @default.
- W3125996968 created "2021-02-01" @default.
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- W3125996968 date "2019-05-13" @default.
- W3125996968 modified "2023-09-27" @default.
- W3125996968 title "Asset Pricing with General Transaction Costs: Theory and Numerics" @default.
- W3125996968 doi "https://doi.org/10.48550/arxiv.1905.05027" @default.
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