INVESTING WITH LIQUID AND ILLIQUID ASSETS-Reference-Cited by-同舟云学术

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INVESTING WITH LIQUID AND ILLIQUID ASSETS

Published:2016-12-16 Issue:1 Volume:28 Page:119-152
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Bichuch Maxim¹,Guasoni Paolo²

Affiliation:

1. Johns Hopkins University

2. Boston University and Dublin City University

Funder

National Science Foundation

European Research Council

Science Foundation Ireland

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12135

Reference30 articles.

1. On the Optimal Hedge of a Nontraded Cash Position

2. On an Investment-Consumption Model with Transaction Costs

3. Portfolio Choice with Illiquid Assets

4. Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs

5. Utility Maximization Trading Two Futures with Transaction Costs

Cited by 15 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. Investment–consumption optimization with transaction cost and learning about return predictability;European Journal of Operational Research;2024-11

2. Optimal asset allocation under search frictions and stochastic interest rate;Quantitative Finance;2023-04-19

3. Optimal Investment in an Illiquid Market with Search Frictions and Transaction Costs;Applied Mathematics & Optimization;2023-04-10

4. Portfolio choice with illiquid asset for a loss-averse pension fund investor;Insurance: Mathematics and Economics;2023-01

5. Analytical and numerical solutions to ergodic control problems arising in environmental management;Mathematical Methods in the Applied Sciences;2022-05-09

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