From 8623481183414379631c8682048614e8b4253a7b Mon Sep 17 00:00:00 2001
From: Chen Yang <yc4646@gmail.com>
Date: Sat, 28 Nov 2020 10:05:14 +0800
Subject: [PATCH] Added LiqPre paper and 2020 teaching.

---
 index.html | 9 +++++++++
 1 file changed, 9 insertions(+)

diff --git a/index.html b/index.html
index 832cd4b..5cfb4e2 100644
--- a/index.html
+++ b/index.html
@@ -70,6 +70,8 @@
 <ul id="course">
     <li><b>SEEM3590</b> Investment Science, Fall 2019</li>
     <li><b>SEEM3580</b> Risk Analysis for Financial Engineering, Spring 2020</li>
+    <li><b>SEEM3590</b> Investment Science, Fall 2020</li>
+    <li><b>SEEM3580</b> Risk Analysis for Financial Engineering, Spring 2021</li>
 </ul>
 
 <h3 id="research">Research Interest</h3>
@@ -77,6 +79,13 @@ Optimal investment under market frictions; Stochastic Control; FinTech; Market m
 
 <h3>Publications</h3>
 <ul style="list-style-type:square">
+    <li><b>An Equilibrium Model for the Cross-Section of Liquidity Premia</b> (with <a href="https://wwwf.imperial.ac.uk/~jmuhleka/" target="blank">Johannes Muhle-Karbe</a> and <a href="https://www.researchgate.net/profile/Xiaofei_Shi2/" target="_blank">Xiaofei Shi</a>).<br>
+        submitted. [<a href="" onclick="toggleAbstract('abs_LiqPre');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3738500" target="_blank">SSRN</a>|<a href="" target="_blank">arXiv</a>]<br>
+        <div style="display:none" id="abs_LiqPre">
+        <hr>
+        <i>We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential equations characterizing equilibrium asset prices and trading strategies in this context reduce to a system of matrix-valued Riccati equations. We prove the existence of a unique global solution and provide explicit asymptotic expansions that allow us to approximate the corresponding equilibrium for small transaction costs. These tractable approximation formulas make it feasible to calibrate the model to time series of prices and trading volume, and to study the cross-section of liquidity premia earned by assets with higher and lower trading costs. This is illustrated by an empirical case study.</i>
+        </div>
+    </li><br>
     <li><b>Rebalancing of Leveraged ETFs under Market Frictions</b> (with <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br>
         submitted. [<a href="" onclick="toggleAbstract('abs_LETF');return false">Abstract</a>]<br>
         <div style="display:none" id="abs_LETF">