Xiaofei Shi

Carnegie Mellon University - Department of Mathematical Sciences

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

2

DOWNLOADS

225

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Asset Pricing with General Transaction Costs: Theory and Numerics

Number of pages: 45 Posted: 03 Jun 2019 Last Revised: 16 Apr 2020
Ludwig-Maximilians-Universit√§t M√ľnchen, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 121 (310,733)
Citation 4

Abstract:

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Radner equilibrium, transaction costs, forward-backward SDEs, deep learning

2.

An Equilibrium Model for the Cross-Section of Liquidity Premia

Number of pages: 35 Posted: 12 Jan 2021
Johannes Muhle-Karbe, Xiaofei Shi and Chen Yang
Imperial College London - Department of Mathematics, Carnegie Mellon University - Department of Mathematical Sciences and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering and Engineering Management
Downloads 104 (345,001)
Citation 1

Abstract:

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asset pricing, Radner equilibrium, transaction costs, liquidity premia