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

DOI10.1080/14697688.2013.856517zbMATH Open1398.91524OpenAlexW3125017430MaRDI QIDQ4682995FDOQ4682995

Authors: 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

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zbMATH Keywords

portfolio choicetransaction costsliquidity

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Over-the-Counter Markets
• Portfolio Selection with Transaction Costs
• Crises and liquidity in over-the-counter markets
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Dynamic trading policies with price impact
• Option pricing with an illiquid underlying asset market
• Transactions costs and portfolio choice in a discrete-continuous-time setting
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Equity Portfolio Diversification*
• Liquidity shocks and equilibrium liquidity premia.
• Portfolio choice under transitory price impact

Cited In (4)

• Market stabilization fund and stock price crash risk: evidence from the post-crash period
• Liquidity shocks and equilibrium liquidity premia.
• Liquidity management and stock price reactions in an economic crisis
• Minimizing the Probability of Lifetime Ruin When Shocks Might Occur: Perturbation Analysis

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