Articles
- Lixin Huang & Hong Liu, 2007.
"Rational Inattention and Portfolio Selection,"
Journal of Finance,
American Finance Association, vol. 62(4), pages 1999-2040, 08.
[Downloadable!] (restricted)
Cited by:
- Yulei Luo, 2006.
"Rational Inattention, Portfolio Choice, and the Equity Premium,"
Computing in Economics and Finance 2006
56, Society for Computational Economics.
[Downloadable!]
- Cuoco, Domenico & Liu, Hong, 2006.
"An analysis of VaR-based capital requirements,"
Journal of Financial Intermediation,
Elsevier, vol. 15(3), pages 362-394, July.
[Downloadable!] (restricted)
Cited by:
- Philippe Jorion, 2005.
"Bank Trading Risk and Systemic Risk,"
NBER Working Papers
11037, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
- Ron Kaniel & Hong Liu, 2006.
"So What Orders Do Informed Traders Use?,"
Journal of Business,
University of Chicago Press, vol. 79(4), pages 1867-1914, July.
[Downloadable!]
Cited by:
- Menkhoff, Lukas & Schmeling, Maik, 2006.
"Local Information in Foreign Exchange Markets,"
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover
dp-331, Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
[Downloadable!]
- Bartolomé Pascual-Fuster & Francisco Climent & Roberto Pascual, 2003.
"Cross-Listing, Price Discovery And The Informativeness Of The Trading Process,"
Working Papers. Serie EC
2003-21, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
[Downloadable!]
Other versions:- Roberto Pascual & Bartolomé Pascual-Fuste & Francisco Climent, 2001.
"Cross-listing, Price Discovery and the Informativeness of the Trading Process,"
Business Economics Working Papers
wb014511, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
- Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco, 2006.
"Cross-listing, price discovery and the informativeness of the trading process,"
Journal of Financial Markets,
Elsevier, vol. 9(2), pages 144-161, May.
[Downloadable!] (restricted)
- Liu, Hong & Yong, Jiongmin, 2005.
"Option pricing with an illiquid underlying asset market,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 29(12), pages 2125-2156, December.
[Downloadable!] (restricted)
Cited by:
- Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007.
"Identifying Volatility Risk Premium from Fixed Income Asian Options,"
Working Papers Series
136, Central Bank of Brazil, Research Department.
[Downloadable!]
- Hong Liu, 2004.
"Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets,"
Journal of Finance,
American Finance Association, vol. 59(1), pages 289-338, 02.
[Downloadable!] (restricted)
Cited by:
- Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002.
"A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs,"
Finance
0207016, EconWPA.
[Downloadable!]
- Jianjun Miao & Neng Wang, 2004.
"Investment, Hedging, and Consumption Smoothing,"
Finance
0407014, EconWPA.
[Downloadable!]
- Hong Liu & Mark Loewenstein, 2002.
"Optimal Portfolio Selection with Transaction Costs and Finite Horizons,"
Review of Financial Studies,
Oxford University Press for Society for Financial Studies, vol. 15(3), pages 805-835.
Cited by:
- Ronald J. Balvers & Yangru Wu, 2004.
"Optimal Transaction Filters under Transitory Trading Opportunities: Theory and Empirical Illustration,"
Working Papers
04-12, Department of Economics, West Virginia University.
[Downloadable!]
- Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002.
"A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs,"
Finance
0207016, EconWPA.
[Downloadable!]
- Robert-Paul Berben, 2003.
"Does stock market uncertainty impair the use of monetary indicators in the euro area?,"
MEB Series (discontinued)
2003-15, Netherlands Central Bank, Monetary and Economic Policy Department.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007.
"Portfolio choice over the life-cycle when the stock and labor markets are cointegrated,"
Working Paper Series
WP-07-11, Federal Reserve Bank of Chicago.
[Downloadable!]
- John V. Duca, 2005.
"Mutual funds and the evolving long-run effects of stock wealth on U.S. consumption,"
Working Papers
05-11, Federal Reserve Bank of Dallas.
[Downloadable!]
Other versions:
- Cuoco, Domenico & Liu, Hong, 2000.
"Optimal consumption of a divisible durable good,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 24(4), pages 561-613, April.
[Downloadable!] (restricted)
Other versions: See citations under working paper version above.
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