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Voluntary pre-trade anonymity and market liquidity
Martínez Sedano, Miguel Angel; Tapia, Mikel - In: Spanish journal of finance & accounting : the official … 50 (2021) 2, pp. 143-161
Persistent link: https://www.econbiz.de/10012549225
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Quality portfolios and funding liquidity crises
Rubio, Gonzalo - In: Spanish journal of finance & accounting : the official … 49 (2020) 3, pp. 322-344
Persistent link: https://www.econbiz.de/10012255977
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Portfolio choice and the effects of liquidity
González Flores, Ana; Rubio, Gonzalo - 2007
Persistent link: https://www.econbiz.de/10008662434
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Portfolio choice and the effects of liquidity
González Flores, Ana; Rubio, Gonzalo - In: SERIEs : Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74
This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...
Persistent link: https://www.econbiz.de/10009355567
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Stock returns with consumption and illiquidity risks
Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74
Persistent link: https://www.econbiz.de/10010431504
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Understanding the ex-ante cost of liquidity in the limit order book : a note
Ruíz Martinez, Miguel A.; Rubio, Gonzalo; Tapia, Mikel - In: Revista de economía aplicada : publicación cuatrimestral 13 (2005) 38, pp. 95-109
Persistent link: https://www.econbiz.de/10003311998
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The reward for trading illiquid maturities in credit default swap markets
Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389
Persistent link: https://www.econbiz.de/10011572470
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Portfolio choice and the effects of liquidity
González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74
This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained frontiers or directly estimating optimal portfolios for...
Persistent link: https://www.econbiz.de/10010317124