Conditional portfolio allocation: Does aggregate market liquidity matter?
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DOI: 10.1016/j.jempfin.2015.10.004
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Cited by:
- Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017.
"Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios,"
European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
- Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2016. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," MPRA Paper 84626, University Library of Munich, Germany, revised Nov 2016.
- Giuseppe Buccheri & Davide Pirino & Luca Trapin, 2021. "Managing liquidity with portfolio staleness," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 215-239, June.
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More about this item
Keywords
Aggregate market liquidity; Portfolio choice; Nonparametric methods;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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