Illiquidity, position limits, and optimal investment for mutual funds
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Johannes Muhle-Karbe & Ren Liu, 2012. "Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints," Papers 1205.4588, arXiv.org, revised Jan 2013.
- Jin Hyuk Choi, 2016. "Optimal investment and consumption with liquid and illiquid assets," Papers 1602.06998, arXiv.org, revised Jan 2018.
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- Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
More about this item
KeywordsIlliquidity Portfolio constraints Position limits Transaction costs Mutual funds Optimal investment;
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