Montag, 08. Januar 2018, 16:45 - 17:45 iCal

ISOR Colloquium

"Equilibrium Asset Pricing with Transaction Costs (joint work with Martin Herdegen)"

Speaker: Johannes Muhle-Karbe (Carnegie Mellon Univ. Pittsburgh)

Sky Lounge OMP1, 12th floor
Oskar-Morgenstern-Platz 1, 1090 Wien


We consider a risk-sharing equilibrium where trading is subject to quadratic transaction costs. In this context, equilibrium asset prices can be characterized by coupled systems of quadratic forward-backward SDEs. Some concrete examples can be solved explicitly, allowing to assess the impact of liquidity on volatility and trading volume.

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651