Dynamic portfolio choice with frictions
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Publication:308647
DOI10.1016/j.jet.2016.06.001zbMath1371.91155OpenAlexW2471741185MaRDI QIDQ308647
Nicolae Gârleanu, Lasse Heje Pedersen
Publication date: 6 September 2016
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2016.06.001
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Cites Work
- Portfolio choice and pricing in illiquid markets
- Equilibrium interest rate and liquidity premium with transaction costs
- OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
- Predicting Equity Liquidity
- Continuous Auctions and Insider Trading
- Recursive Models of Dynamic Linear Economies
- Price Manipulation and Quasi-Arbitrage
- Portfolio Selection with Transaction Costs
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