Liquidity Constraints for Portfolio Selection Based on Financial Volume
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-019-09957-0.pdf
Reference60 articles.
1. Acharya, V. V., & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77(2), 375–410.
2. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31–56.
3. Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249.
4. Amihud, Y., Mendelson, H., & Pedersen, L. H. (2012). Market liquidity: Asset pricing, risk, and crises. Cambridge: Cambridge University Press.
5. Amihud, Y., Hameed, A., Kang, W., & Zhang, H. (2015). The illiquidity premium: International evidence. Journal of Financial Economics, 117(2), 350–368.
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. The Effects of the Introduction of Volume-Based Liquidity Constraints in Portfolio Optimization with Alternative Investments;Mathematics;2024-08-04
2. Liquidity Jump, Liquidity Diffusion, and Portfolio of Assets with Extreme Liquidity;SSRN Electronic Journal;2024
3. Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree;Mathematics;2023-09-12
4. Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem;Annals of Operations Research;2022-09-09
5. Liquidity-constrained index tracking optimization models;Annals of Operations Research;2021-07-01
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3