From de785680be78b2871130dfae98a2bf21b725063e Mon Sep 17 00:00:00 2001 From: Chen Yang Date: Tue, 1 Jun 2021 12:59:26 +0800 Subject: [PATCH] Update LETF paper title. --- index.html | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/index.html b/index.html index 5ee0fe2..1400f30 100644 --- a/index.html +++ b/index.html @@ -87,7 +87,7 @@ Portfolio selection under market frictions; Stochastic control; FinTech; Market 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.
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  • Rebalancing of Leveraged ETFs under Market Frictions (with Min Dai, Steven Kou and H. Mete Soner).
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  • Leveraged ETFs with Market Closure and Frictions (with Min Dai, Steven Kou and H. Mete Soner).
    submitted. [Abstract|SSRN]