SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Transactions costs and portfolio choice in a discrete-continuous-time setting
7 references·16 citing·44 second hop
Transactions costs and portfolio choice in a discrete-continuous-time setting (1990)Transactions costs and portfolio choice i…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Option Pricing and Replication with Transactions Costs (1985)Option Pricing and Replicatio…Introduction to Stochastic Integration (1983)Introduction to Stochastic In…Portfolio selection with transactions costs (1976)Portfolio selection with tran…OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. (1975)OPTIMAL INVESTMENT AND CONSUM…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions (1970)Optimal Investment and Consum…Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market (2020)Sources of Inaction in Househ…Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences (2018)Shaping Expectations and Coor…Learning about Mutual Fund Managers (2016)Learning about Mutual Fund Ma…Horizon Pricing (2016)Horizon PricingOPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (2013)OPTIMAL INVESTMENT UNDER RELA…Optimal Inattention to the Stock Market With Information Costs and Transactions Costs (2013)Optimal Inattention to the St…Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? (2012)Is the Volatility of the Mark…Durable Consumption and Asset Management with Transaction and Observation Costs (2012)Durable Consumption and Asset…Optimal Price Setting With Observation and Menu Costs (2011)Optimal Price Setting With Ob…Asset Price Dynamics with Slow-Moving Capital (2010)Asset Price Dynamics with Slo…MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS (2006)MULTIDIMENSIONAL PORTFOLIO OP…Liquidity shocks and equilibrium liquidity premia (2003)Liquidity shocks and equilibr…Efficient Trading Strategies in the Presence of Market Frictions (2001)Efficient Trading Strategies …Selecting Portfolios with Fixed Costs and Minimum Transaction Lots (2000)Selecting Portfolios with Fix…Equilibrium interest rate and liquidity premium with transaction costs (1999)Equilibrium interest rate and…Decision Frequency and Synchronization Across Agents: Implications for Aggregate Consumption and Equity Return (1996)Decision Frequency and Synchr…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)An Intertemporal Capital Asset Pricing Model (1973)Periodic market closure and trading volume (1992)Participation Costs and the Sensitivity of Fund Flows to Past Performance (2007)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)Expectations and the neutrality of money (1972)Manuscript Preparation (1997)Labor-Market Policies in an Equilibrium Search Model (1999)Brownian Motion and Stochastic Calculus (2007)Rationally Inattentive Seller: Sales and Discrete Pricing (2015)News media and delegated information choice (2019)Continuous Auctions and Insider Trading (1985)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Illiquidity and Pricing Biases in the Real Estate Market (2007)Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets (2009)The Pricing of Options and Corporate Liabilities (1973)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)European Option Pricing with Transaction Costs (1993)Pricing and hedging derivative securities in markets with uncertain volatilities (1995)Rollover Risk and Credit Risk (2012)Theory of Games and Economic Behavior (1946)Risk Aversion in the Small and in the Large (1964)ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)An Asymptotic Theory of Growth Under Uncertainty (1975)Risk Aversion in the Small and in the Large (1976)Modern portfolio theory, 1950 to date (2011)Staggered prices in a utility-maximizing framework (1983)Golden Eggs and Hyperbolic Discounting (1997)Implications of rational inattention (2003)Mortgage Design in an Equilibrium Model of the Housing Market (2020)Reference Dependence in the Housing Market (2022)Social interactions and households’ flood insurance decisions (2022)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)Stochastic integration in UMD Banach spaces (2007)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods (1974)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1985Option Pricing and Replication with Transactions Costs915 cited
  • 1983Introduction to Stochastic Integration454 cited
  • 1976Portfolio selection with transactions costs431 cited
  • 1970Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions347 cited
  • 1975OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966.347 cited

Cited by

  • 2020Sources of Inaction in Household Finance: Evidence from the Danish Mortgage Market262 cited
  • 2003Liquidity shocks and equilibrium liquidity premia207 cited
  • 2011Optimal Price Setting With Observation and Menu Costs188 cited
  • 1999Equilibrium interest rate and liquidity premium with transaction costs179 cited
  • 2013Optimal Inattention to the Stock Market With Information Costs and Transactions Costs164 cited
  • 2000Selecting Portfolios with Fixed Costs and Minimum Transaction Lots162 cited
  • 2013OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS156 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2012Durable Consumption and Asset Management with Transaction and Observation Costs139 cited
  • 1996Decision Frequency and Synchronization Across Agents: Implications for Aggregate Consumption and Equity Return132 cited
  • 2010Asset Price Dynamics with Slow-Moving Capital128 cited
  • 2018Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences127 cited
  • 2006MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS126 cited
  • 2016Learning about Mutual Fund Managers97 cited
  • 2001Efficient Trading Strategies in the Presence of Market Frictions96 cited
  • 2016Horizon Pricing95 cited
  • 2012Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?93 cited