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Citations for "Optimal Dynamic Trading with Leverage Constraints"

by Grossman, Sanford J. & Vila, Jean-Luc

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  1. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 18(1), pages 65-92, January.
  2. Kogan, Leonid & Uppal, Raman, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3306, C.E.P.R. Discussion Papers.
  3. Paul Willen & Felix Kubler, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper, Federal Reserve Bank of Boston 06-4, Federal Reserve Bank of Boston.
  4. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer, Springer, vol. 14(4), pages 363-386, December.
  5. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(2), pages 300-323.
  6. Corielli, Francesco & Penati, Alessandro, 1996. "Long-run equity risk and dynamic trading strategies: a simulation exercise for the Italian stock market," Ricerche Economiche, Elsevier, Elsevier, vol. 50(1), pages 27-56, March.
  7. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
  8. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
  9. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(6), pages 1079-1113, March.
  10. Tobias Adrian & Michael J. Fleming, 2005. "What financing data reveal about dealer leverage," Current Issues in Economics and Finance, Federal Reserve Bank of New York, Federal Reserve Bank of New York, vol. 11(Mar).
  11. Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market liquidity and funding liquidity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24478, London School of Economics and Political Science, LSE Library.
  12. Shi, Zhen & Werker, Bas J.M., 2012. "Short-horizon regulation for long-term investors," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3227-3238.
  13. Gromb, Denis & Vayanos, Dimitri, 2002. "Equilibrium and welfare in markets with financially constrained arbitrageurs," Journal of Financial Economics, Elsevier, Elsevier, vol. 66(2-3), pages 361-407.
  14. Tepper, Alexander & Borowiecki, Karol Jan, 2014. "A Leverage-Based Measure of Financial Instability," Discussion Papers of Business and Economics 14/2014, Department of Business and Economics, University of Southern Denmark.
  15. Ren Liu & Johannes Muhle-Karbe & Marko Weber, 2014. "Rebalancing with Linear and Quadratic Costs," Papers 1402.5306, arXiv.org.
  16. Vladislav Kargin, 2003. "Optimal Convergence Trading," Papers math/0302104, arXiv.org, revised Aug 2003.
  17. Daniele Coen-Pirani, 2000. "Margin Requirements and Equilibrium Asset Prices," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2001-E5, Carnegie Mellon University, Tepper School of Business.
  18. Tepla, Lucie, 2000. "Optimal portfolio policies with borrowing and shortsale constraints," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(11-12), pages 1623-1639, October.
  19. Johannes Muhle-Karbe & Ren Liu, 2012. "Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints," Papers 1205.4588, arXiv.org, revised Jan 2013.
  20. Attari, Mukarram & Mello, Antonio S., 2006. "Financially constrained arbitrage in illiquid markets," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(12), pages 2793-2822, December.
  21. Boyle, Glenn W. & Guthrie, Graeme A., 2006. "Hedging the value of waiting," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1245-1267, April.
  22. Wiesemann, Thomas, 1996. "Managing a value-preserving portfolio over time," European Journal of Operational Research, Elsevier, Elsevier, vol. 91(2), pages 274-283, June.
  23. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
  24. Stan Miles, 2013. "Constant-collateral pyramiding trading strategies in futures markets," Financial Markets and Portfolio Management, Springer, Springer, vol. 27(4), pages 381-396, December.
  25. Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831, arXiv.org.
  26. Guiso, Luigi & Sodini, Paolo, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8934, C.E.P.R. Discussion Papers.
  27. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, Elsevier, vol. 1(1), pages 1-50, April.
  28. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
  29. Mahayni, Antje & Schneider, Judith C., 2012. "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2417-2428.
  30. Feyzullah Egriboyun & H. Soner, 2010. "Optimal investment strategies with a reallocation constraint," Computational Statistics, Springer, Springer, vol. 71(3), pages 551-585, June.
  31. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 758, Board of Governors of the Federal Reserve System (U.S.).
  32. Mehlkopf, R.J., 2011. "Risk sharing with the unborn," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4960700, Tilburg University.
  33. Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014. "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, vol. 18(1), pages 1-37, January.
  34. Vladimir Cherny & Jan Obłój, 2013. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, vol. 17(4), pages 771-800, October.