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Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods

Grossman, Sanford J.; Laroque, Guy - 1987

Persistent link: https://www.econbiz.de/10000731175

Optimal investment strategies for controlling drawdowns

Grossman, Sanford J. - In: Mathematical finance : an international journal of … 3 (1993) 3, pp. 241-276

Persistent link: https://www.econbiz.de/10001184871

Optimal dynamic trading with leverage constraints

Grossman, Sanford J. - In: Journal of financial and quantitative analysis : JFQA 27 (1992) 2, pp. 151-168

Persistent link: https://www.econbiz.de/10001125364

Portfolio insurance in complete markets : a note

Grossman, Sanford J. - In: The journal of business : B 62 (1989) 4, pp. 473-476

Persistent link: https://www.econbiz.de/10001079387

Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods

Grossman, Sanford J. - In: Econometrica : journal of the Econometric Society, an … 58 (1990) 1, pp. 25-51

Persistent link: https://www.econbiz.de/10001084886

Consumption correlation and risk measurement in economies with non-traded assets and heterogeneous information

Grossman, Sanford J.; Shiller, Robert J. - 1981

Persistent link: https://www.econbiz.de/10002531842

Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods

Grossman, Sanford J. - 2012

We analyze a model of optimal consumption and portfolio selection in which consumption services are generated by holding a durable good. The durable good is illiquid in that a transaction cost must be paid when the good is sold. It is shown that optimal consumption is not a smooth function of...

Persistent link: https://www.econbiz.de/10012755881