Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
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Publication:650754
DOI10.1007/s00780-008-0085-5zbMath1226.91067OpenAlexW2011063036MaRDI QIDQ650754
Holger Kraft, Peter Diesinger, Frank Thomas Seifried
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.380.8745
Related Items (5)
ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT ⋮ Optimal asset allocation with fixed-term securities ⋮ Liquidity, risk, and return: specifying an objective function for the management of foreign reserves ⋮ EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS ⋮ OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK
Cites Work
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- Liquidity risk and arbitrage pricing theory
- Rare Disasters and Asset Markets in the Twentieth Century*
- A Microeconomic Approach to Diffusion Models For Stock Prices
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Portfolio Selection with Transaction Costs
- The relaxed investor and parameter uncertainty
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