Dynamic trading volume

DOI10.1111/MAFI.12099MaRDI QIDQ6497100FDOQ6497100

Authors: Paolo Guasoni, Marko H. Weber 

Publication date: 6 May 2024

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

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zbMATH Keywords

portfolio choiceliquiditytrading volumelong-run

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Cites Work

• The pricing of options and corporate liabilities
• An equilibrium characterization of the term structure
• Title not available (Why is that?)
• Optimal Liquidity Trading*
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stock price distributions with stochastic volatility: an analytic approach
• Portfolio Selection with Transaction Costs
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Liquidity risk and arbitrage pricing theory
• A model for a large investor trading at market indifference prices. I: Single-period case
• Option hedging for small investors under liquidity costs
• A model for a large investor trading at market indifference prices. II: Continuous-time case.
• Information, trade and common knowledge
• Portfolios and risk premia for the long run
• Continuous Auctions and Insider Trading
• Portfolio selection with transactions costs
• Transaction costs, trading volume, and the liquidity premium

Cited In (1)

• Dynamic mean-variance problem with frictions

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