Portfolio choice under transitory price impact (Q609848): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.jedc.2010.06.005
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+W3124099220
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@@ Property / cites work @@
+Optimal execution with nonlinear impact functions and trading-enhanced risk
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+Predicting Equity Liquidity
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@@ Property / cites work @@
+Optimal consumption choices for a `large' investor
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@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
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+Over-the-Counter Markets
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Transactions costs and portfolio choice in a discrete-continuous-time setting
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+Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
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+Dynamic trading policies with price impact
@@ Property / cites work: Dynamic trading policies with price impact / rank @@
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+Liquidity shocks and equilibrium liquidity premia.
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+Option pricing with an illiquid underlying asset market
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+Optimum consumption and portfolio rules in a continuous-time model
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+THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
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+Optimal investment and consumption with transaction costs
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+Optimal Liquidity Trading*
@@ Property / cites work: Optimal Liquidity Trading* / rank @@
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+Search and endogenous concentration of liquidity in asset markets
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+Publication:609848