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A model of optimal portfolio selection under liquidity risk and price impact

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Author Info
Vathana Ly Vath ()
Mohamed Mnif ()
Huyên Pham ()
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File URL: http://hdl.handle.net/10.1007/s00780-006-0025-1
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 11 (2007)
Issue (Month): 1 (January)
Pages: 51-90
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Handle: RePEc:spr:finsto:v:11:y:2007:i:1:p:51-90

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Related research
Keywords: Portfolio selection; Liquidity risk; Impulse control; State constraint; Discontinuous viscosity solutions; 93E20; 91B28; 60H30; 49L25; G11;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
  2. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March. [Downloadable!] (restricted)
    Other versions:
  3. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Blackwell Publishing, vol. 11(4), pages 447-474. [Downloadable!] (restricted)
  4. Back, Kerry, 1992. "Insider Trading in Continuous Time," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(3), pages 387-409. [Downloadable!] (restricted)
  5. He, Hua & Mamaysky, Harry, 2005. "Dynamic trading policies with price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 29(5), pages 891-930, May. [Downloadable!] (restricted)
  6. E. Platen & M. Schweizer, . "On Feedback Effects from Hedging Derivatives," Sonderforschungsbereich 373 1997-83, Humboldt Universitaet Berlin.
  7. RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, vol. 2(2), pages 115-141. [Downloadable!] (restricted)
  8. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
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  9. Cadenillas, Abel & Zapatero, Fernando, 1999. "Optimal Central Bank Intervention in the Foreign Exchange Market," Journal of Economic Theory, Elsevier, vol. 87(1), pages 218-242, July. [Downloadable!] (restricted)
  10. Vayanos, Dimitri, 1998. "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(1), pages 1-58.
  11. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Takashi Kato, 2009. "Optimal Execution Problem with Market Impact," Quantitative Finance Papers 0907.3282, arXiv.org. [Downloadable!]
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