Research and publications
Asset Prices in General Equilibrium with Transactions Costs and Recursive Utility
This paper studies the effect of proportional transactions costs on asset prices and liquidity premia in a general equilibrium economy with multiple agents who are heterogeneous. The agents in the model have Epstein-Zin-Weil utility functions and can be heterogeneous with respect to endowments and all three characteristics of their utility functions—time preference, risk aversion, and elasticity of intertemporal substitution.
Author(s):
Adrian Buss, Raman Uppal, Grigory Vilkov
Summary:
This paper studies the effect of proportional transactions costs on asset prices and liquidity premia in a general equilibrium economy with multiple agents who are heterogeneous. The agents in the model have Epstein-Zin-Weil utility functions and can be heterogeneous with respect to endowments and all three characteristics of their utility functions—time preference, risk aversion, and elasticity of intertemporal substitution.
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Register/Log in| Type : | Working paper |
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| Date : | 02/01/2012 |
| Keywords : |
Asset Pricing |
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