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A Simple Model of Liquidity Effects
7 references·8 citing·32 second hop
A Simple Model of Liquidity Effects (2002)A Simple Model of Liquidity EffectsStochastic Calculus and Applications (2015)Stochastic Calculus and Appli…Un Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…Point Processes and Queues: Martingale Dynamics. (1983)Point Processes and Queues: M…Point Processes and Queues (1981)Point Processes and QueuesLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times (2019)Real-Option Valuation in Mult…Mean–Variance portfolio selection in presence of infrequently traded stocks (2013)Mean–Variance portfolio selec…Optimal Stopping with Information Constraint (2012)Optimal Stopping with Informa…Optimal portfolios of a small investor in a limit order market: a shadow price approach (2010)Optimal portfolios of a small…A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES (2008)A MODEL OF OPTIMAL CONSUMPTIO…Valuation of Bond Illiquidity (2007)Valuation of Bond IlliquidityStopping at the maximum of geometric Brownian motion when signals are received (2005)Stopping at the maximum of ge…Optimal portfolio of low liquid assets with a log-utility function (2005)Optimal portfolio of low liqu…Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Stochastic Differential Equations (2003)On Some Optimal Stopping Problems with Constraint (2016)On Some Impulse Control Problems with Constraint (2017)Optimum consumption and portfolio rules in a continuous-time model (1971)Methods of Mathematical Finance (1998)Optimal Portfolio Liquidation with Execution Cost and Risk (2010)Investment/Consumption Problem in Illiquid Markets with Regime-Switching (2014)PORTFOLIO SELECTION* (1952)Algorithmic trading for online portfolio selection under limited market liquidity (2020)Multiple Wiener Integral (1951)A strong law of large numbers for local martingales (1980)Instantaneous Control of Brownian Motion (1983)Functional Itô calculus and stochastic integral representation of martingales (2013)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Arbitrage Theory in Continuous Time (2004)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Pricing the risks of default (1998)Interest rate theory (1997)Optional decompositions under constraints (1997)The Levered Equity Risk Premium and Credit Spreads: A Unified Framework (2007)
this work references cited by second hop

References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1981Point Processes and Queues1,652 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1983Point Processes and Queues: Martingale Dynamics.1,065 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 2002Un Cours sur les Intégrales Stochastiques421 cited
  • 2015Stochastic Calculus and Applications307 cited

Cited by

  • 2008A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES46 cited
  • 2012Optimal Stopping with Information Constraint42 cited
  • 2013Mean–Variance portfolio selection in presence of infrequently traded stocks38 cited
  • 2007Valuation of Bond Illiquidity37 cited
  • 2005Optimal portfolio of low liquid assets with a log-utility function37 cited
  • 2010Optimal portfolios of a small investor in a limit order market: a shadow price approach31 cited
  • 2005Stopping at the maximum of geometric Brownian motion when signals are received25 cited
  • 2019Real-Option Valuation in Multiple Dimensions Using Poisson Optional Stopping Times23 cited

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