Portfolio choice and pricing in illiquid markets

DOI10.1016/j.jet.2008.07.006zbMath1158.91377OpenAlexW2095718815MaRDI QIDQ1007320

Nicolae Gârleanu

Publication date: 20 March 2009

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2008.07.006

zbMATH Keywords

transaction costssearchportfolio choiceliquiditydiscounttrading delays

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (12)

Dynamic portfolio choice with frictions ⋮ Option pricing: the reduced-form SDE model ⋮ Optimal asset allocation with fixed-term securities ⋮ Optimal asset allocation with restrictions on liquidity ⋮ Trading dynamics in decentralized markets with adverse selection ⋮ Portfolio choice with illiquid asset for a loss-averse pension fund investor ⋮ Crises and liquidity in over-the-counter markets ⋮ Market selection ⋮ Managing liquidity with portfolio staleness ⋮ Managing inventory with proportional transaction costs ⋮ HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Liquidity premia in dynamic bargaining markets
• Liquidity shocks and equilibrium liquidity premia.
• Search and endogenous concentration of liquidity in asset markets
• Existence of independent random matching
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Smart Money, Noise Trading and Stock Price Behaviour
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Consumption Commitments and Habit Formation
• Over-the-Counter Markets
• Leaning Against the Wind

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