Liquidity premium in the presence of stock market crises and background risk

DOI10.1080/14697688.2013.856517zbMath1398.91524OpenAlexW3125017430MaRDI QIDQ4682995

Sergey Isaenko, Rui Zhong

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.856517

zbMATH Keywords

transaction costsportfolio choiceliquidity

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Minimizing the Probability of Lifetime Ruin When Shocks Might Occur: Perturbation Analysis

Cites Work

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• Equity Portfolio Diversification*
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Over-the-Counter Markets
• Portfolio Selection with Transaction Costs

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