SSRN Author: Bruno BouchardBruno Bouchard SSRN Content
http://www.ssrn.com/author=101104
http://www.ssrn.com/rss/en-usWed, 14 Mar 2018 04:33:11 GMTeditor@ssrn.com (Editor)Wed, 14 Mar 2018 04:33:11 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Equilibrium Returns with Transaction CostsWe 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 trade subject to a quadratic transaction cost. The corresponding equilibrium is characterized as the unique solution of a system of coupled but linear forward-backward stochastic differential equations. Explicit solutions are obtained in a number of concrete settings. The sluggishness of the frictional portfolios makes the corresponding equilibrium returns mean-reverting. Compared to the frictionless case, expected returns are higher if the more risk-averse agents are net sellers or if the asset supply expands over time.
http://www.ssrn.com/abstract=3009183
http://www.ssrn.com/1675430.htmlTue, 13 Mar 2018 01:38:50 GMTREVISION: Equilibrium Returns with Transaction CostsWe 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 trade subject to a quadratic transaction cost. The corresponding equilibrium is characterized as the unique solution of a system of coupled but linear forward-backward stochastic differential equations. Explicit solutions are obtained in a number of concrete settings. The sluggishness of the frictional portfolios makes the corresponding equilibrium returns mean-reverting. Compared to the frictionless case, expected returns are higher if the more risk-averse agents are net sellers or if the asset supply expands over time.
http://www.ssrn.com/abstract=3009183
http://www.ssrn.com/1625459.htmlFri, 15 Sep 2017 08:40:31 GMTREVISION: Equilibrium Liquidity PremiaWe study equilibrium returns in a continuous-time model where heterogeneous mean-variance investors trade subject to quadratic transaction costs. The unique equilibrium is characterized by a system of coupled but linear forward-backward stochastic differential equations. Explicit solutions obtain in a number of concrete settings. The corresponding liquidity premia compared to the frictionless case are mean reverting; they are positive if the more risk-averse agents are net sellers or if the asset supply expands over time.
http://www.ssrn.com/abstract=3009183
http://www.ssrn.com/1612940.htmlSat, 29 Jul 2017 05:09:45 GMT