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Portfolio Choice with Illiquid Assets

Citations

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Cited by:

  1. Campanale, Claudio & Fugazza, Carolina & Gomes, Francisco, 2015. "Life-cycle portfolio choice with liquid and illiquid financial assets," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 67-83.
  2. Qize Li & Dirk Brounen & Jianjun Li & Xu Wei, 2022. "The Effect of Housing Wealth on Household Portfolio Choice," Annals of Economics and Finance, Society for AEF, vol. 23(2), pages 253-277, November.
  3. Maria Cristina Arcuri & Gino Gandolfi & Fabrizio Laurini, 2023. "Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 557-581, June.
  4. Amy Whitaker & Roman Kräussl, 2020. "Fractional Equity, Blockchain, and the Future of Creative Work," Management Science, INFORMS, vol. 66(10), pages 4594-4611, October.
  5. Maria Ludovica Drudi & Giulio Carlo Venturi, 2023. "Assessing the liquidity premium in the Italian bond market," Questioni di Economia e Finanza (Occasional Papers) 795, Bank of Italy, Economic Research and International Relations Area.
  6. Arthur Korteweg & Roman Kräussl & Patrick Verwijmeren, 2016. "Does it Pay to Invest in Art? A Selection-Corrected Returns Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 29(4), pages 1007-1038.
  7. Basak, Suleyman & Makarov, Dmitry & Shapiro, Alex & Subrahmanyam, Marti, 2020. "Security design with status concerns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
  8. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
  9. Liu, Guo & Jin, Zhuo & Li, Shuanming, 2021. "Household Lifetime Strategies under a Self-Contagious Market," European Journal of Operational Research, Elsevier, vol. 288(3), pages 935-952.
  10. Csóka, Péter & Bihary, Zsolt & Kondor, Gábor, 2018. "A részvénytartás spektrális kockázata hosszú távon [On the spectral measure of risk in holding stocks in the long run]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 687-700.
  11. Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
  12. David Chambers & Elroy Dimson & Justin Foo, 2013. "Keynes, King's, and Endowment Asset Management," NBER Chapters, in: How the Financial Crisis and Great Recession Affected Higher Education, pages 127-150, National Bureau of Economic Research, Inc.
  13. Saad, Mohsen & Samet, Anis, 2017. "Liquidity and the implied cost of equity capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 15-38.
  14. Gilles Hilary & Laura Xiaolei Liu, 2021. "Blockchain and Other Distributed Ledger Technologies in Finance," Springer Books, in: Raghavendra Rau & Robert Wardrop & Luigi Zingales (ed.), The Palgrave Handbook of Technological Finance, pages 243-268, Springer.
  15. Chae, Jiwon & Jang, Bong-Gyu & Kim, Taeyoon, 2024. "The effect of regime-switching transaction costs and cash dividends on liquidity premia," International Review of Financial Analysis, Elsevier, vol. 93(C).
  16. L. A. Bordag & I. P. Yamshchikov & D. Zhelezov, 2015. "Portfolio optimization in the case of an asset with a given liquidation time distribution," Post-Print hal-01186961, HAL.
  17. Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Papers 1803.05819, arXiv.org, revised Jul 2018.
  18. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
  19. Gomes, Francisco & Fugazza, Carolina & Campanale, Claudio, 2015. "Life-Cycle Portfolio choice with Liquid and Illiquid Assets," CEPR Discussion Papers 10369, C.E.P.R. Discussion Papers.
  20. Syeda Hina Zaidi & Nousheen Tariq Bhutta, 2021. "Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 488-500.
  21. Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2019. "The Effect of Investment Constraints on Hedge Fund Investor Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1539-1571, August.
  22. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
  23. Daniel Dimitrov, 2022. "Intergenerational Risk Sharing with Market Liquidity Risk," Tinbergen Institute Discussion Papers 22-028/VI, Tinbergen Institute.
  24. Susan K Christoffersen & Donald B Keim & David K Musto & Aleksandra Rzeźnik, 2022. "Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds [Does motivation matter when assessing trade performance? An analysis of mutual funds]," Review of Finance, European Finance Association, vol. 26(5), pages 1145-1177.
  25. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
  26. Riccardo Poli & Marco Taboga, 2021. "A composite indicator of sovereign bond market liquidity in the euro area," Questioni di Economia e Finanza (Occasional Papers) 663, Bank of Italy, Economic Research and International Relations Area.
  27. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
  28. Igor Halperin & Andrey Itkin, 2013. "Pricing Illiquid Options With N + 1 Liquid Proxies Using Mixed Dynamic-Static Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(07), pages 1-17.
  29. Bender, Svetlana & Choi, James J. & Dyson, Danielle & Robertson, Adriana Z., 2022. "Millionaires speak: What drives their personal investment decisions?," Journal of Financial Economics, Elsevier, vol. 146(1), pages 305-330.
  30. Chen, Zheng & Li, Zhongfei & Zeng, Yan, 2023. "Portfolio choice with illiquid asset for a loss-averse pension fund investor," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 60-83.
  31. Jansen, Kristy, 2021. "Essays on institutional investors, portfolio choice, and asset prices," Other publications TiSEM fd998408-d282-4e0f-b542-4, Tilburg University, School of Economics and Management.
  32. Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe, 2015. "The price of wine," Journal of Financial Economics, Elsevier, vol. 118(2), pages 431-449.
  33. Hobson, David & Zeng, Matthew, 2022. "Constrained optimal stopping, liquidity and effort," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 819-843.
  34. Eric Luxenberg & Stephen Boyd & Mykel Kochenderfer & Misha van Beek & Wen Cao & Steven Diamond & Alex Ulitsky & Kunal Menda & Vidy Vairavamurthy, 2022. "Strategic Asset Allocation with Illiquid Alternatives," Papers 2207.07767, arXiv.org.
  35. Boyan Jovanovic & Sai Ma & Peter L. Rousseau, 2022. "Private equity and growth," Journal of Economic Growth, Springer, vol. 27(3), pages 315-363, September.
  36. Chongyu Wang & Jeffrey P. Cohen & John L. Glascock, 2019. "Geographic Proximity and Competition for Scarce Capital: Evidence from U.S. REITs," International Real Estate Review, Global Social Science Institute, vol. 22(4), pages 535-570.
  37. DeLisle, R. Jared & McTier, Brian C. & Smedema, Adam R., 2016. "Systematic limited arbitrage and the cross-section of stock returns: Evidence from exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 118-136.
  38. Morten Sorensen & Neng Wang & Jinqiang Yang, 2014. "Valuing Private Equity," The Review of Financial Studies, Society for Financial Studies, vol. 27(7), pages 1977-2021.
  39. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
  40. Teeple, Keisuke, 2023. "Level-k predatory trading," Journal of Mathematical Economics, Elsevier, vol. 106(C).
  41. Syeda Hina Zaidi & Nousheen Tariq Bhutta, 2021. "Liquidity Synchronization and Asset Valuation in Selected Emerging Asian Economies," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(6), pages 488-500, June.
  42. Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(3), pages 268-294, May.
  43. Broeders, Dirk W. G. A. & Jansen, Kristy A. E. & Werker, Bas J. M., 2021. "Pension fund's illiquid assets allocation under liquidity and capital requirements," Journal of Pension Economics and Finance, Cambridge University Press, vol. 20(1), pages 102-124, January.
  44. Tae Ung Gang & Jin Hyuk Choi, 2024. "Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions," Papers 2407.13547, arXiv.org.
  45. Whitaker, Amy & Kräussl, Roman, 2023. "Art collectors as venture capitalists," CFS Working Paper Series 696, Center for Financial Studies (CFS).
  46. Dirk Broeders & Kristy Jansen & Bas Werker, 2017. "Pension fund's illiquid assets allocation under liquidity and capital constraints," DNB Working Papers 555, Netherlands Central Bank, Research Department.
  47. Jin Hyuk Choi & Tae Ung Gang, 2021. "Optimal investment in illiquid market with search frictions and transaction costs," Papers 2101.09936, arXiv.org, revised Aug 2021.
  48. Roman Kraussl & Arthur Korteweg & Patrick Verwijmeren, 2013. "Does it Pay to Invest in Art? A Selection-corrected Returns Perspective," DEM Discussion Paper Series 13-7, Department of Economics at the University of Luxembourg.
  49. Frydman, Cary & Rangel, Antonio, 2014. "Debiasing the disposition effect by reducing the saliency of information about a stock's purchase price," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 541-552.
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