Portfolio choice under transitory price impact-Reference-Cited by-同舟云学术

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Portfolio choice under transitory price impact

Published:2010-11 Issue:11 Volume:34 Page:2375-2389
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Isaenko Sergei

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference49 articles.

1. Asset pricing with liquidity risk;Acharya;Journal of Financial Economics,2005

2. Optimal execution with nonlinear impact functions and trading-enhanced risk;Almgren;Applied Mathematical Finance,2003

3. Value under liquidation;Almgren;Risk,1999

4. Optimal execution of portfolio transactions;Almgren;Journal of Risk,2000

5. Asset pricing and the bid–ask spread;Amihud;Journal of Financial Economics,1986

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1. Asset prices when large investors interact strategically;Quantitative Finance;2024-08-19

2. Transaction costs, frequent trading, and stock prices;Journal of Financial Markets;2022-08

3. Price impact, strategic interaction and portfolio choice;The North American Journal of Economics and Finance;2022-01

4. Slow-moving capital and stock returns;Quantitative Finance;2020-02-19

5. An Analysis of the Stock Price Impact on the TSE and Accrual Management;IRAN J MANAG STUD;2020

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