The General Structure of Optimal Investment and Consumption with Small Transaction Costs
Event details
| Date | 24.03.2015 |
| Hour | 12:15 › 13:15 |
| Speaker | Johannes MUHLE-KARBE (ETH Zurich) |
| Location | |
| Category | Conferences - Seminars |
Market frictions such as transaction costs typically make asset pricing models rather intractable. Yet, asymptotically for small costs, first-order corrections of optimal policies can be obtained explicitly in surprising generality. In this talk, we discuss these results and extensions to general equilibrium models with small frictions.
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