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Optimal Consumption Choices for a "Large" Investor

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Author Info
Domenico Cuoco
Jaksa Cvitanic

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Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 4-96.

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Handle: RePEc:fth:pennfi:4-96

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  1. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January. [Downloadable!] (restricted)
  2. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152_v1, HAL. [Downloadable!]
    Other versions:
  3. Barbara G. Katz & Joel Owen, 2000. "The Emergence of Concentrated Ownership and the Rebalancing of Portfolios due to Shareholder Activism in a Financial Market Equilibrium," Working Papers 00-01, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
    Other versions:
  4. Branko Urosevic, 2001. "Moral Hazard and Dynamics of Insider Ownership Stakes," Economics Working Papers 787, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2004. [Downloadable!]
  5. P. Bank & D. Baum, . "Hedging and Portfolio Optimization in Illiquid Financial Markets," Sonderforschungsbereich 373 2002-53, Humboldt Universitaet Berlin.
  6. P. Bank, . "No Free Lunch for Large Investors," Sonderforschungsbereich 373 1999-37, Humboldt Universitaet Berlin.
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This page was last updated on 2009-11-20.

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