Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
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Publication:650754
DOI10.1007/S00780-008-0085-5zbMATH Open1226.91067OpenAlexW2011063036MaRDI QIDQ650754FDOQ650754
Holger Kraft, Peter Diesinger, Frank Thomas Seifried
Publication date: 27 November 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.380.8745
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Selection with Transaction Costs
- Liquidity risk and arbitrage pricing theory
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
- Portfolio optimisation with strictly positive transaction costs and impulse control
- Rare Disasters and Asset Markets in the Twentieth Century*
- The relaxed investor and parameter uncertainty
- Transactions costs and portfolio choice in a discrete-continuous-time setting
- A Microeconomic Approach to Diffusion Models For Stock Prices
Cited In (5)
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- Optimal consumption and investment for a large investor: an intensity-based control framework
- Liquidity, risk, and return: specifying an objective function for the management of foreign reserves
- Optimal asset allocation with fixed-term securities
- EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS
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