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Dynamic Portfolio Execution
16 references·2 citing·42 second hop
Dynamic Portfolio Execution (2017)Dynamic Portfolio ExecutionDynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Comovement (2004)ComovementOrder imbalance and individual stock returns: Theory and evidence (2003)Order imbalance and individua…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Market Liquidity and Trading Activity (2001)Market Liquidity and Trading …Contagion as a Wealth Effect (2001)Contagion as a Wealth EffectCommon factors in prices, order flows, and liquidity (2001)Common factors in prices, ord…Time and the Price Impact of a Trade (2000)Time and the Price Impact of …Commonality in liquidity (2000)Commonality in liquidityOptimal control of execution costs (1998)Optimal control of execution …The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Optimal portfolio execution problem with stochastic price impact (2019)Optimal portfolio execution p…Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach (2018)Dynamic portfolio optimizatio…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)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An Intertemporal Capital Asset Pricing Model (1973)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)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)A Theory of Intraday Patterns: Volume and Price Variability (1988)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)Asset pricing and the bid-ask spread (1986)The Relation Between Price Changes and Trading Volume: A Survey (1987)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Liquidity and Market Efficiency (2007)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Market liquidity as a sentiment indicator (2004)Do liquidity measures measure liquidity?☆ (2009)The relationship between return and market value of common stocks (1981)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Noise Trader Risk in Financial Markets (1990)Size and Book-to-Market Factors in Earnings and Returns (1995)The Limits of Arbitrage (1995)International Stock Return Comovements (2005)Understanding commonality in liquidity around the world (2011)Do ETFs Increase Volatility? (2014)Competition and Financial Stability (2004)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 2000Commonality in liquidity1,748 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 2001Market Liquidity and Trading Activity1,555 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 2001Common factors in prices, order flows, and liquidity1,067 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2004Comovement929 cited
  • 2001Contagion as a Wealth Effect926 cited
  • 2002Order imbalance, liquidity, and market returns914 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2000Time and the Price Impact of a Trade592 cited
  • 2003Order imbalance and individual stock returns: Theory and evidence571 cited

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Cited by

  • 2018Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach23 cited
  • 2019Optimal portfolio execution problem with stochastic price impact23 cited