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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

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

Portfolio choice and the effects of liquidity

González Flores, Ana; Rubio, Gonzalo - 2007

Persistent link: https://www.econbiz.de/10008662434

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

Persistent link: https://www.econbiz.de/10009355567

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

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

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