We study risk-sharing economies where heterogeneous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully coupled forward–backward stochastic differential equations. We show that a unique solution exists provided that the agents’ preferences are sufficiently similar. In a benchmark specification with linear state dynamics, the empirically observed illiquidity discounts and liquidity premia correspond to a positive relationship between transaction costs and volatility.

中文翻译：

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平衡资产定价与交易成本

我们研究了风险分散的经济体，在这种经济体中，异构代理商的交易会受到二次交易成本的影响。相应的均衡资产价格和交易策略以非线性，完全耦合的前向后向随机微分方程组为特征。我们显示，只要代理的偏好足够相似，便存在唯一的解决方案。在具有线性状态动态的基准规范中，根据经验观察到的非流动性折扣和流动性溢价对应于交易成本与波动性之间的正相关关系。