This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize expected returns under quadratic costs on inventories and trading rates. The unique equilibrium price is characterized by a weakly coupled system of linear parabolic equations which shows that holding and liquidity costs play dual roles. We derive the leading‐order asymptotics for small transaction and holding costs which give further insight into the equilibrium and the consequences of illiquidity.

中文翻译：

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具有异类信念和流动性不足的资产定价

本文研究了N个代理商之间连续时间交易的资产均衡价格，这些代理商对资产收益所基于的状态过程有不同的看法。我们提出了一种易于处理的模型，其中代理商在库存和交易价格的二次成本下最大化了预期收益。独特的均衡价格的特征在于线性抛物线方程的弱耦合系统，这表明持有成本和流动性成本起着双重作用。我们得出小额交易和持有成本的先导渐近线，从而进一步了解均衡和流动性不足的后果。