Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?

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

zbMATH Keywords

portfolio decisionilliquidityrare disastersblackout periodefficiency loss

Mathematics Subject Classification ID

Portfolio theory (91G10)

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

• Optimum consumption and portfolio rules in a continuous-time model
• Transactions costs and portfolio choice in a discrete-continuous-time setting
• Portfolio optimisation with strictly positive transaction costs and impulse control
• 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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