Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?

DOI10.1007/S00780-008-0085-5MaRDI QIDQ650754zbMATH OpenOpenAlexFDO

Authors Peter Diesinger, Holger Kraft, 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

zbMATH Keywords

illiquidityrare disastersblackout periodefficiency lossportfolio decision

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A Microeconomic Approach to Diffusion Models For Stock Prices
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Liquidity risk and arbitrage pricing theory
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• 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

Cited in

(6)

• Optimal asset allocation with fixed-term securities
• New insights on asset pricing and illiquidity
• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
• Liquidity, risk, and return: specifying an objective function for the management of foreign reserves
• Optimal consumption and investment for a large investor: an intensity-based control framework
• EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS

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