Liquidity-constrained index tracking optimization models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-021-04173-2.pdf
Reference56 articles.
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3. Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249.
4. Atkins, A. B., & Dyl, E. A. (1997). Transactions costs and holding periods for common stocks. The Journal of Finance, 52(1), 309–325.
5. Barardehi, Y. H., Bernhardt, D., & Davies, R. J. (2018). Trade-time measures of liquidity. The Review of Financial Studies.
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