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Mean–Variance portfolio selection in presence of infrequently traded stocks
16 references·1 citing·31 second hop
Mean–Variance portfolio selection in presence of infrequently traded stocks (2013)Mean–Variance portfolio selection in pres…Applied Stochastic Control of Jump Diffusions (2007)Applied Stochastic Control of…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Mutual Fund Performance (1966)Mutual Fund PerformancePORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Algorithmic trading for online portfolio selection under limited market liquidity (2020)Algorithmic trading for onlin…Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Risk Aversion in the Small and in the Large (1964)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1966Mutual Fund Performance3,932 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis

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  • 2020Algorithmic trading for online portfolio selection under limited market liquidity25 cited