Portfolio Insurance with Liquidity Risk
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Volume (Year): 14 (2007)
Issue (Month): 4 (December)
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- Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 447-474.
- Sanford J. Grossman & Zhongquan Zhou, 1993. "Optimal Investment Strategies For Controlling Drawdowns," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 241-276.
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- Sanford J. Grossman & Jean-Juc Vila, "undated". "Optimal Dynamic Trading with Leverage Constraints," Rodney L. White Center for Financial Research Working Papers 36-89, Wharton School Rodney L. White Center for Financial Research.
- El Karoui, Nicole & Jeanblanc, Monique & Lacoste, Vincent, 2005. "Optimal portfolio management with American capital guarantee," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 449-468, March.
- Black, Fischer & Perold, AndreF., 1992. "Theory of constant proportion portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 403-426.
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