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Citations for "Optimal Dynamic Trading with Leverage Constraints"

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

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  1. 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.
  2. Luigi Guiso, 2014. "Risk Aversion and Financial Crisis," EIEF Working Papers Series 1412, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2014.
  3. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer, vol. 14(4), pages 363-386, December.
  4. Gromb, Denis & Vayanos, Dimitri, 2001. "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs," CEPR Discussion Papers 3049, C.E.P.R. Discussion Papers.
  5. 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.
  6. 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.
  7. 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, vol. 28(6), pages 1079-1113, March.
  8. Daniele Coen-Pirani, 2000. "Margin Requirements and Equilibrium Asset Prices," GSIA Working Papers 2001-E5, Carnegie Mellon University, Tepper School of Business.
  9. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
  10. Fang Cai, 2003. "Was there front running during the LTCM crisis," International Finance Discussion Papers 758, Board of Governors of the Federal Reserve System (U.S.).
  11. Stan Miles, 2013. "Constant-collateral pyramiding trading strategies in futures markets," Financial Markets and Portfolio Management, Springer, vol. 27(4), pages 381-396, December.
  12. Tepper, Alexander & Borowiecki, Karol Jan, 2014. "A leverage-based measure of financial instability," Staff Reports 688, Federal Reserve Bank of New York.
  13. Vladislav KArgin, 2004. "Optimal Convergence Trading," Finance 0401003, EconWPA.
  14. Johannes Muhle-Karbe & Ren Liu, 2012. "Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints," Papers 1205.4588, arXiv.org, revised Jan 2013.
  15. Attari, Mukarram & Mello, Antonio S., 2006. "Financially constrained arbitrage in illiquid markets," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2793-2822, December.
  16. 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.
  17. Leonid Kogan & Raman Uppal, 2001. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," NBER Working Papers 8609, National Bureau of Economic Research, Inc.
  18. Feyzullah Egriboyun & H. Soner, 2010. "Optimal investment strategies with a reallocation constraint," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 551-585, June.
  19. Guiso, Luigi & Sodini, Paolo, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
  20. Bertrand, Philippe & Prigent, Jean-luc, 2011. "Omega performance measure and portfolio insurance," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
  21. Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group.
  22. 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.
  23. Boyle, Glenn & Guthrie, Graeme, 2006. "Hedging the Value of Waiting," Working Paper Series 3878, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  24. 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, vol. 11(Mar).
  25. Corielli, Francesco & Penati, Alessandro, 1996. "Long-run equity risk and dynamic trading strategies: a simulation exercise for the Italian stock market," Ricerche Economiche, Elsevier, vol. 50(1), pages 27-56, March.
  26. Laurent E. Calvet & Paolo Sodini, 2010. "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios," NBER Working Papers 15859, National Bureau of Economic Research, Inc.
  27. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  28. Steven M. Fazzari & R. Glenn Hubbard & Bruce C. Petersen, 1996. "Financing Constraints and Corporate Investment: Response to Kaplan and Zingales," NBER Working Papers 5462, National Bureau of Economic Research, Inc.
  29. Tepla, Lucie, 2000. "Optimal portfolio policies with borrowing and shortsale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1623-1639, October.
  30. Paul S. Willen & Felix Kubler, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper 06-4, Federal Reserve Bank of Boston.
  31. 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.
  32. repec:spr:compst:v:71:y:2010:i:3:p:551-585 is not listed on IDEAS
  33. Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831, arXiv.org.
  34. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, vol. 110(2), pages 300-323.
  35. Ren Liu & Johannes Muhle-Karbe & Marko Weber, 2014. "Rebalancing with Linear and Quadratic Costs," Papers 1402.5306, arXiv.org.
  36. Wiesemann, Thomas, 1996. "Managing a value-preserving portfolio over time," European Journal of Operational Research, Elsevier, vol. 91(2), pages 274-283, June.
  37. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
  38. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 453-474, October.
  39. Mehlkopf, R.J., 2011. "Risk sharing with the unborn," Other publications TiSEM fe8a8df6-455f-4624-af10-9, Tilburg University, School of Economics and Management.
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