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Dynamic portfolio choice and risk aversion

Skiadas, Costis - In: Financial engineering, (pp. 789-843). 2008

Persistent link: https://www.econbiz.de/10003567809

Optimal consumption and portfolio selection with stochastic differential utility

Schroder, Mark D.; Skiadas, Costis - In: Journal of economic theory 89 (1999) 1, pp. 68-126

Persistent link: https://www.econbiz.de/10001418784

An isomorphism between asset pricing models with and without linear habit formation

Schroder, Mark D.; Skiadas, Costis - In: The review of financial studies 15 (2002) 4, pp. 1189-1221

Persistent link: https://www.econbiz.de/10001716092

Optimality and state pricing in constrained financial markets with recursive utility under continuous and discontinuous information

Schroder, Mark D.; Skiadas, Costis - In: Mathematical finance : an international journal of … 18 (2008) 2, pp. 199-238

Persistent link: https://www.econbiz.de/10003683215

Diversification as a public good : community effects in portfolio choice

DeMarzo, Peter M.; Kaniel, Ron; Kremer, Ilan - In: The journal of finance : the journal of the American … 59 (2004) 4, pp. 1677-1715

Persistent link: https://www.econbiz.de/10002190674

Portfolio Liquidation and Security Design with Private Information

DeMarzo, Peter M. - 2011

I consider the problem faced by an issuer holding a portfolio of securities that can be sold to raise cash. The issuer has private information that affects the value of all of the securities held, and so faces a lemons problem in the market for the securities. On the other hand, the issuer bears...

Persistent link: https://www.econbiz.de/10013126178

Portfolio liquidity and security design with private information

DeMarzo, Peter M.; Frankel, David M.; Jin, Yu - In: The review of financial studies 34 (2021) 12, pp. 5841-5885

Persistent link: https://www.econbiz.de/10012694508