Liquidity Risk and the Dynamics of Arbitrage Capital
收藏NBER2014-02-01 更新2025-01-04 收录
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https://www.nber.org/papers/w19931
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资源简介：
We develop a continuous-time model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. Arbitrageurs have CRRA utility, while hedgers asset demand is independent of wealth. An increase in hedgers risk aversion can make arbitrageurs endogenously more risk-averse
提供机构：
美国国家经济研究局
创建时间：
2014-02-01
