Publications
32 results found
Muhle-Karbe J, Wang Z, Webster K, 2022, Stochastic Liquidity as a Proxy for Nonlinear Price Impact
Muhle-Karbe J, Wang Z, Webster K, 2022, A Leland Model for Delta Hedging in Central Risk Books
Micheli A, Muhle-Karbe J, Neuman E, 2021, Closed-Loop Nash Competition for Liquidity
Herdegen M, Muhle-Karbe J, Stebegg F, 2021, Liquidity Provision with Adverse Selection and Inventory Costs
Gonon L, Muhle-Karbe J, Shi X, 2021, Asset pricing with general transaction costs: Theory and numerics, MATHEMATICAL FINANCE, Vol: 31, Pages: 595-648, ISSN: 0960-1627
- Author Web Link
- Cite
- Citations: 7
Muhle-Karbe J, Shi X, Yang C, 2020, An Equilibrium Model for the Cross-Section of Liquidity Premia
MuhleKarbe J, Nutz M, Tan X, 2020, Asset pricing with heterogeneous beliefs and illiquidity, Mathematical Finance, Vol: 30, Pages: 1392-1421, ISSN: 0960-1627
Herdegen M, Muhle-Karbe J, Possamaï D, 2020, Equilibrium Asset Pricing with Transaction Costs
Cayé T, Herdegen M, Muhle-Karbe J, 2020, Trading with small nonlinear price impact, Annals of Applied Probability, Vol: 30, Pages: 706-746, ISSN: 1050-5164
We study portfolio choice with small nonlinear price impact on general market dynamics. Using probabilistic techniques and convex duality, we show that the asymptotic optimum can be described explicitly up to the solution of a nonlinear ODE, which identifies the optimal trading speed and the performance loss due to the trading friction. Previous asymptotic results for proportional and quadratic trading costs are obtained as limiting cases. As an illustration, we discuss how nonlinear trading costs affect the pricing and hedging of derivative securities and active portfolio management.
Muhle-Karbe J, Nutz M, Tan X, 2020, Asset Pricing with Heterogeneous Beliefs and Illiquidity
Herrmann S, Muhle-Karbe J, Shang D, et al., 2020, Inventory Management for High-Frequency Trading with Imperfect Competition, SIAM JOURNAL ON FINANCIAL MATHEMATICS, Vol: 11, Pages: 1-26, ISSN: 1945-497X
- Author Web Link
- Cite
- Citations: 2
Guasoni P, Liu R, Muhle-Karbe J, 2019, Who should sell stocks?, Mathematical Finance, Vol: 29, Pages: 448-482, ISSN: 0960-1627
Cohen SN, Henckel T, Menzies GD, et al., 2018, Switching Cost Models as Hypothesis Tests, Economics Letters, ISSN: 0165-1765
Ekren I, Muhle-Karbe J, 2018, Portfolio Choice with Small Temporary and Transient Price Impact, Mathematical Finance, ISSN: 0960-1627
Belak C, Muhle-Karbe J, Ou K, 2018, Optimal Trading with General Signals and Liquidation in Target Zone Models
Bank P, Ekren I, Muhle-Karbe J, 2018, Liquidity in competitive dealer markets
We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' demands are absorbed by dealers with quadratic inventory costs, who can in turn gradually transfer these positions to an end-user market. This endogenously leads to a model with transient price impact. Smooth, diffusive, and discrete trades all incur finite but nontrivial liquidity costs, and can arise naturally from the liquidity takers' optimization.
Bouchard B, Fukasawa M, Herdegen M, et al., 2018, Equilibrium Returns with Transaction Costs, Finance and Stochastics, Pages: 569-601, ISSN: 1432-1122
Herdegen M, Muhle-Karbe J, 2018, Stability of Radner equilibria with respect to small frictions, Finance and Stochastics, Vol: 22, Pages: 443-502, ISSN: 0949-2984
We study risk-sharing equilibria with trading subject to small proportional transaction costs. We show that the frictionless equilibrium prices also form an “asymptotic equilibrium” in the small-cost limit. More precisely, there exist asymptotically optimal policies for all agents and a split of the trading cost according to their risk aversions for which the frictionless equilibrium prices still clear the market. Starting from a frictionless equilibrium, this allows studying the interplay of volatility, liquidity and trading volume.
Muhle-Karbe J, Nutz M, 2018, A risk-neutral equilibrium leading to uncertain volatility pricing, Finance and Stochastics, Vol: 22, Pages: 281-295, ISSN: 0949-2984
Muhle-Karbe J, Reppen M, Soner HM, 2017, A Primer on Portfolio Choice with Small Transaction Costs, Annual Review of Financial Economics, Vol: 9, Pages: 301-331
Herrmann S, Muhle-Karbe J, 2017, Model uncertainty, recalibration, and the emergence of delta–vega hedging, Finance and Stochastics, Vol: 21, Pages: 873-930, ISSN: 0949-2984
Muhle-Karbe J, Webster K, 2017, Information and Inventories in High-Frequency Trading
Ekren I, Liu R, Muhle-Karbe J, 2017, Optimal Rebalancing Frequencies for Multidimensional Portfolios
Moreau L, Muhle-Karbe J, Soner HM, 2017, Trading with Small Price Impact, Mathematical Finance, Vol: 27, Pages: 350-400, ISSN: 0960-1627
Guasoni P, Muhle-Karbe J, Xing H, 2017, ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS, Mathematical Finance, Vol: 27, Pages: 3-37, ISSN: 0960-1627
Guasoni P, Muhle-Karbe J, 2015, LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS, Mathematical Finance, Vol: 25, Pages: 724-753, ISSN: 0960-1627
Guasoni P, Muhle-Karbe J, Xing H, 2013, Robust Portfolios and Weak Incentives in Long Run Investments, Boston U. School of Management Research Paper
This data is extracted from the Web of Science and reproduced under a licence from Thomson Reuters. You may not copy or re-distribute this data in whole or in part without the written consent of the Science business of Thomson Reuters.