Liquidity shocks and equilibrium liquidity premia.
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Publication:1810698
DOI10.1016/S0022-0531(02)00039-XzbMath1058.91038OpenAlexW2141216870MaRDI QIDQ1810698
Publication date: 9 June 2003
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0022-0531(02)00039-x
Related Items (11)
Price impact equilibrium with transaction costs and TWAP trading ⋮ Optimal asset allocation with fixed-term securities ⋮ Equilibrium theory of stock market crashes ⋮ Existence of a Radner equilibrium in a model with transaction costs ⋮ Portfolio choice under transitory price impact ⋮ Pricing in an equilibrium based model for a large investor ⋮ Liquidity premia in dynamic bargaining markets ⋮ Search and endogenous concentration of liquidity in asset markets ⋮ Optimal investment decisions when time-horizon is uncertain ⋮ Liquidity premium in the presence of stock market crises and background risk ⋮ Portfolio choice and pricing in illiquid markets
Cites Work
- Transactions costs and portfolio choice in a discrete-continuous-time setting
- Equilibrium interest rate and liquidity premium with transaction costs
- Optimal investment and consumption with transaction costs
- OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- Continuous Auctions and Insider Trading
- Portfolio Selection with Transaction Costs
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