A model of optimal portfolio selection under liquidity risk and price impact
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Volume (Year): 11 (2007)
Issue (Month): 1 (January)
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- Cuoco, Domenico & Cvitanic, Jaksa, 1998.
"Optimal consumption choices for a 'large' investor,"
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- Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 04-96, Wharton School Rodney L. White Center for Financial Research.
- Domenico Cuoco & Jaksa Cvitanic, "undated". "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers 4-96, Wharton School Rodney L. White Center for Financial Research.
- Dimitri Vayanos, 1998.
"Transaction costs and asset prices : a dynamic equilibrium model,"
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451, London School of Economics and Political Science, LSE Library.
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- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
- Cadenillas, Abel & Zapatero, Fernando, 1999. "Optimal Central Bank Intervention in the Foreign Exchange Market," Journal of Economic Theory, Elsevier, vol. 87(1), pages 218-242, July.
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