Liquidity regimes and optimal dynamic asset allocation

Pierre Collin-Dufresne, Kent Daniel, Mehmet Sağlam

Year of publication:	2020
Authors:	Collin-Dufresne, Pierre ; Daniel, Kent ; Sağlam, Mehmet
Published in:	Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 136.2020, 2, p. 379-406
Subject:	Dynamic models \| Mean-variance \| Portfolio choice \| Price impact \| Risk-parity \| Stochastic volatility \| Transaction costs \| Portfolio-Management \| Portfolio selection \| Transaktionskosten \| Theorie \| Theory \| Volatilität \| Volatility \| Aktie \| Share \| Wechselverhalten \| Switching behaviour \| Börsenkurs \| Share price \| CAPM

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