Portfolio choice and pricing in illiquid markets
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Cited by:
- Banerjee, Snehal & Graveline, Jeremy J., 2014. "Trading in derivatives when the underlying is scarce," Journal of Financial Economics, Elsevier, vol. 111(3), pages 589-608.
- Shen, Ji & Wei, Bin & Yan, Hongjun, 2016.
"Financial Intermediation Chains in an OTC Market,"
MPRA Paper
74925, University Library of Munich, Germany.
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"Market liquidity - theory and empirical evidence,"
LSE Research Online Documents on Economics
119044, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
- Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers dp709, Financial Markets Group.
- Vayanos, Dimitri & Wang, Jiang, 2009.
"Liquidity and asset prices: a united framework,"
LSE Research Online Documents on Economics
29303, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," NBER Working Papers 15215, National Bureau of Economic Research, Inc.
- Vayanos, Dimitri & Wang, Jiang, 2009. "Liquidity and Asset Prices: A Unified Framework," CEPR Discussion Papers 7410, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Jiang Wang, 2009. "Liquidity and Asset Prices: A Unified Framework," FMG Discussion Papers dp639, Financial Markets Group.
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"Asset Issuance in Over-the-Counter Markets,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 4-29, July.
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- Ji Shen & Bin Wei & Hongjun Yan, 2021. "Financial Intermediation Chains in an Over-the-Counter Market," Management Science, INFORMS, vol. 67(7), pages 4623-4642, July.
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Keywords
Liquidity Discount Portfolio choice Trading delays Search Transaction costs;Statistics
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