Portfolio insurance with liquidity risk

DOI10.1007/S10690-008-9067-ZzbMATH Open1170.91393OpenAlexW1978422631MaRDI QIDQ841847FDOQ841847

Authors: Koichi Matsumoto 

Publication date: 18 September 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-008-9067-z

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zbMATH Keywords

liquidityoptimal strategyportfolio insurance

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Portfolio Selection with Transaction Costs
• Liquidity risk and arbitrage pricing theory
• Hedging and liquidation under transaction costs in currency markets
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• The liquidity discount.
• Theory of constant proportion portfolio insurance
• Limit theorem on option replication cost with transaction costs
• Optimal portfolio management with American capital guarantee
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Optimal portfolio of low liquid assets with a log-utility function
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (3)

• Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN
• Managing liquidity with portfolio staleness
• Optimal portfolio of low liquid assets with a log-utility function

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