Portfolio choice and pricing in illiquid markets
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Publication:1007320
DOI10.1016/j.jet.2008.07.006zbMath1158.91377OpenAlexW2095718815MaRDI QIDQ1007320
Publication date: 20 March 2009
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2008.07.006
Related Items (12)
Dynamic portfolio choice with frictions ⋮ Option pricing: the reduced-form SDE model ⋮ Optimal asset allocation with fixed-term securities ⋮ Optimal asset allocation with restrictions on liquidity ⋮ Trading dynamics in decentralized markets with adverse selection ⋮ Portfolio choice with illiquid asset for a loss-averse pension fund investor ⋮ Crises and liquidity in over-the-counter markets ⋮ Market selection ⋮ Managing liquidity with portfolio staleness ⋮ Managing inventory with proportional transaction costs ⋮ HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT ⋮ Unnamed Item
Cites Work
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- Liquidity premia in dynamic bargaining markets
- Liquidity shocks and equilibrium liquidity premia.
- Search and endogenous concentration of liquidity in asset markets
- Existence of independent random matching
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- Smart Money, Noise Trading and Stock Price Behaviour
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- Consumption Commitments and Habit Formation
- Over-the-Counter Markets
- Leaning Against the Wind
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