Managing liquidity with portfolio staleness

DOI10.1007/S10203-020-00300-ZzbMath1470.91237OpenAlexW3047474240MaRDI QIDQ2044821

Luca Trapin, Giuseppe Buccheri, Davide Pirino

Publication date: 10 August 2021

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-020-00300-z

zbMATH Keywords

HARinvestmentsportfolio liquidityprice staleness

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• High-dimensional copula-based distributions with mixed frequency data
• Portfolio choice and pricing in illiquid markets
• Equilibrium interest rate and liquidity premium with transaction costs
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• EXcess Idle Time
• A closed-form formula characterization of the Epps effect
• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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