Portfolio choice under transitory price impact
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Publication:609848
DOI10.1016/j.jedc.2010.06.005zbMath1201.91186OpenAlexW3124099220MaRDI QIDQ609848
Publication date: 1 December 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.06.005
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Transactions costs and portfolio choice in a discrete-continuous-time setting
- Dynamic trading policies with price impact
- Option pricing with an illiquid underlying asset market
- Optimal consumption choices for a `large' investor
- Optimal investment and consumption with transaction costs
- Liquidity shocks and equilibrium liquidity premia.
- Search and endogenous concentration of liquidity in asset markets
- Predicting Equity Liquidity
- THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- Optimal Liquidity Trading*
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Over-the-Counter Markets
- Portfolio Selection with Transaction Costs
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