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Losing money on arbitrage : optimal dynamic portfolio choice in markets with arbitrage opportunities

Liu, Jun; Longstaff, Francis A. - In: The review of financial studies 17 (2004) 3, pp. 611-642

Persistent link: https://www.econbiz.de/10002148881

Dynamic Asset Allocation with Event Risk

Liu, Jun - 2002

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....

Persistent link: https://www.econbiz.de/10012787129

Placing no-arbitrage bounds on the value of nonmarketable and thinly-traded securities

Longstaff, Francis A. - In: Advances in futures and options research : a research annual 8 (1995), pp. 203-228

Persistent link: https://www.econbiz.de/10001211286

Optimal portfolio choice and the valuation of illiquid securities

Longstaff, Francis A. - In: The review of financial studies 14 (2001) 2, pp. 407-431

Persistent link: https://www.econbiz.de/10001570570

Valuing thinly traded assets

Longstaff, Francis A. - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3868-3878

Persistent link: https://www.econbiz.de/10011900055

Two trees : asset price dynamics induced by market clearing

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - 2003

Persistent link: https://www.econbiz.de/10001852332

Portfolio claustrophobia: asset pricing in markets with illiquid assets

Longstaff, Francis A. - In: The American economic review 99 (2009) 4, pp. 1119-1144

Persistent link: https://www.econbiz.de/10003896623

Inflation tracking portfolios

Downing, Christopher T.; Longstaff, Francis A.; … - 2012

Persistent link: https://www.econbiz.de/10009554460

Two trees

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - In: The review of financial studies 21 (2008) 1, pp. 347-385

Persistent link: https://www.econbiz.de/10003716171

Disagreement and asset prices

Carlin, Bruce Ian; Longstaff, Francis A.; Matoba, Kyle - In: Journal of financial economics 114 (2014) 2, pp. 226-238

Persistent link: https://www.econbiz.de/10010532262