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On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
Loewenstein, Mark A. - In: Journal of mathematical economics 33 (2000) 2, pp. 209-228
Persistent link: https://www.econbiz.de/10001450140
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Optimal portfolio selection with transaction costs and finite horizons
Liu, Hong; Loewenstein, Mark A. - In: The review of financial studies 15 (2002) 3, pp. 805-835
Persistent link: https://www.econbiz.de/10001688873
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Market crashes, correlated illiquidity, and portfolio choice
Liu, Hong; Loewenstein, Mark A. - In: Management science : journal of the Institute for … 59 (2013) 3, pp. 715-732
Persistent link: https://www.econbiz.de/10009731240
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Liquidity premia and transaction costs
Jang, Bong-gyu; Koo, Hyeng-keun; Liu, Hong; … - In: The journal of finance : the journal of the American … 62 (2007) 5, pp. 2329-2366
Persistent link: https://www.econbiz.de/10003550029
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Event Risks, Illiquidity, and Portfolio Selection
Liu, Hong - 2009
The most recent financial crisis highlights the importance of event risks and the ensuing market illiquidity and worsening investment opportunity set for optimal portfolio selection. However, the existing portfolio selection literature does not consider the joint impact of these risks. In this...
Persistent link: https://www.econbiz.de/10013153116