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Optimal Portfolio Liquidation with Distress Risk
16 references·6 citing·52 second hop
Optimal Portfolio Liquidation with Distress Risk (2010)Optimal Portfolio Liquidation with Distre…Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Deciphering the Liquidity and…Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Risk aversion and the dynamic…Episodic Liquidity Crises: Cooperative and Predatory Trading (2007)Episodic Liquidity Crises: Co…Portfolio optimization with linear and fixed transaction costs (2006)Portfolio optimization with l…Predatory Trading (2005)Predatory TradingOptimal Liquidity Trading (2005)Optimal Liquidity TradingMomentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Momentum and post-earnings-an…Price Manipulation and Quasi-Arbitrage (2004)Price Manipulation and Quasi-…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Crisis and Risk Management (2000)Crisis and Risk ManagementTransaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Transaction Costs and Asset P…Optimal control of execution costs (1998)Optimal control of execution …In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets (1997)In Search of Liquidity: Block…Large-block transactions, the speed of response, and temporary and permanent stock-price effects (1990)Large-block transactions, the…PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)PRICE IMPACTS OF BLOCK TRADIN…Selection Bias in Mutual Fund Fire Sales (2022)Selection Bias in Mutual Fund…Were there fire sales in the RMBS market? (2021)Were there fire sales in the …Institutional investors, selling pressure and crash risk: Evidence from China (2019)Institutional investors, sell…Within-Bank Spillovers of Real Estate Shocks (2018)Within-Bank Spillovers of Rea…Dynamic Portfolio Execution (2017)Dynamic Portfolio ExecutionLiquidating illiquid collateral (2013)Liquidating illiquid collater…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Price, trade size, and information in securities markets (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)Socially Irresponsible and Illegal Behavior and Shareholder Wealth (1997)Price Pressure around Mergers (2004)IQ, trading behavior, and performance (2011)The relationship between return and market value of common stocks (1981)The equity premium: A puzzle (1985)Asset pricing and the bid-ask spread (1986)Endogenous Liquidity in Asset Markets (2004)A Search‐Based Theory of the On‐the‐Run Phenomenon (2008)Liquidity in Asset Markets With Search Frictions (2009)The Behavior of Stock-Market Prices (1965)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Institutional trades and intraday stock price behavior (1993)The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)Presidential Address: Friction (2000)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Portfolio rebalancing with an investment horizon and transaction costs (2012)Twenty years of linear programming based portfolio optimization (2013)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)Understanding commonality in liquidity around the world (2011)Short Selling and the Price Discovery Process (2012)Determinants of corporate borrowing (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Market Liquidity and Funding Liquidity (2008)Bank lending during the financial crisis of 2008 (2009)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Essays in Positive Economics (1954)Liquidity Risk and Expected Stock Returns (2003)Optimal execution strategies in limit order books with general shape functions (2009)Systemic Risk and Stability in Financial Networks (2013)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)
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References

  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2005Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk1,008 cited
  • 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE671 cited
  • 2005Predatory Trading588 cited
  • 1998Transaction Costs and Asset Prices: A Dynamic Equilibrium model440 cited
  • 1990Large-block transactions, the speed of response, and temporary and permanent stock-price effects430 cited
  • 2006Portfolio optimization with linear and fixed transaction costs350 cited
  • 2004Price Manipulation and Quasi-Arbitrage333 cited
  • 1997In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets318 cited
  • 2007Episodic Liquidity Crises: Cooperative and Predatory Trading271 cited
  • 2008Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets232 cited
  • 2005Optimal Liquidity Trading211 cited

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Crisis and Risk Management
204 cited

Cited by

  • 2013Liquidating illiquid collateral54 cited
  • 2019Institutional investors, selling pressure and crash risk: Evidence from China51 cited
  • 2021Were there fire sales in the RMBS market?47 cited
  • 2017Dynamic Portfolio Execution42 cited
  • 2022Selection Bias in Mutual Fund Fire Sales36 cited
  • 2018Within-Bank Spillovers of Real Estate Shocks31 cited