Dynamic portfolio choice with frictions
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Publication:308647
DOI10.1016/J.JET.2016.06.001zbMATH Open1371.91155OpenAlexW2471741185MaRDI QIDQ308647FDOQ308647
Authors: Nicolae Gârleanu, Lasse Heje Pedersen 
Publication date: 6 September 2016
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2016.06.001
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Cites Work
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- Price Manipulation and Quasi-Arbitrage
- Portfolio Selection with Transaction Costs
- Continuous Auctions and Insider Trading
- Portfolio choice and pricing in illiquid markets
- Equilibrium interest rate and liquidity premium with transaction costs
- Predicting equity liquidity
- Recursive Models of Dynamic Linear Economies
Cited In (50)
- Dynamic trading with Markov liquidity switching
- Scaling limits of processes with fast nonlinear mean reversion
- Rebalancing with Linear and Quadratic Costs
- Liquidation with self-exciting price impact
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
- Endogenous noise trackers in a Radner equilibrium
- Equilibrium effects of intraday order-splitting benchmarks
- MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
- Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
- Asset pricing with general transaction costs: Theory and numerics
- Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
- High-dimensional statistical arbitrage with factor models and stochastic control
- Liquidity in competitive dealer markets
- Dynamic mean-variance problem with frictions
- Dynamic asset-liability management with frictions
- Fast quadratic programming for mean-variance portfolio optimisation
- Optimal investment with transient price impact
- Optimal rebalancing frequencies for multidimensional portfolios
- Equilibrium returns with transaction costs
- Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
- Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact
- Price impact equilibrium with transaction costs and TWAP trading
- Rebalancing multiple assets with mutual price impact
- Trading with small nonlinear price impact
- Optimal trading with transaction costs and short-term predictability
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
- Hedging with temporary price impact
- Stability of Radner equilibria with respect to small frictions
- Optimal asset allocation under search frictions and stochastic interest rate
- Optimal investment for retail investors
- Closed‐loop Nash competition for liquidity
- International portfolio choice in an overlapping generations model with transaction costs
- Title not available (Why is that?)
- Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders
- Optimal pair-trade execution with generalized cross-impact
- Learning about latent dynamic trading demand
- Optimal portfolio execution problem with stochastic price impact
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- Smooth investment
- Trading Constraints in Continuous-Time Kyle Models
- Equilibrium asset pricing with transaction costs
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Managing inventory with proportional transaction costs
- Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
- Infrequent Random Portfolio Decisions in an Open Economy Model
- Price impact in Nash equilibria
- Dynamic portfolio choice with return predictability and transaction costs
- When is cross impact relevant?
- How to build a cross-impact model from first principles: theoretical requirements and empirical results
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