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Optimal Portfolio Liquidation with Distress Risk

Citations

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Cited by:

  1. Kim, Donghyun & Li, Chengcheng & Wang, Xiaoqiong, 2023. "Liquidity Dry-ups in equity markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  2. Dan A. Iancu & Nikolaos Trichakis, 2014. "Fairness and Efficiency in Multiportfolio Optimization," Operations Research, INFORMS, vol. 62(6), pages 1285-1301, December.
  3. Vicente Cuñat & Dragana Cvijanović & Kathy Yuan, 2018. "Within-Bank Spillovers of Real Estate Shocks," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 7(2), pages 157-193.
  4. Popescu, Marius & Xu, Zhaojin, 2024. "Mutual fund liquidity management and family affiliation," Finance Research Letters, Elsevier, vol. 66(C).
  5. Rustom M. Irani & Ralf R. Meisenzahl, 2015. "Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register," Finance and Economics Discussion Series 2015-1, Board of Governors of the Federal Reserve System (U.S.).
  6. Oehmke, Martin, 2014. "Liquidating illiquid collateral," LSE Research Online Documents on Economics 84518, London School of Economics and Political Science, LSE Library.
  7. Li, Yong & Benson, Karen & Faff, Robert, 2016. "Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund," Finance Research Letters, Elsevier, vol. 19(C), pages 217-221.
  8. Nyborg, Kjell G. & Östberg, Per, 2014. "Money and liquidity in financial markets," Journal of Financial Economics, Elsevier, vol. 112(1), pages 30-52.
  9. Seungki Min & Costis Maglaras & Ciamac C. Moallemi, 2018. "Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution," Papers 1811.05524, arXiv.org.
  10. Oehmke, Martin, 2014. "Liquidating illiquid collateral," Journal of Economic Theory, Elsevier, vol. 149(C), pages 183-210.
  11. Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
  12. Edirisinghe, Chanaka & Jeong, Jaehwan & Chen, Jingnan, 2021. "Optimal portfolio deleveraging under market impact and margin restrictions," European Journal of Operational Research, Elsevier, vol. 294(2), pages 746-759.
  13. Chen, Jingnan & Feng, Liming & Peng, Jiming, 2015. "Optimal deleveraging with nonlinear temporary price impact," European Journal of Operational Research, Elsevier, vol. 244(1), pages 240-247.
  14. Chen, Jingnan, 2020. "Optimal liquidation of financial derivatives," Finance Research Letters, Elsevier, vol. 34(C).
  15. Gerry Tsoukalas & Jiang Wang & Kay Giesecke, 2019. "Dynamic Portfolio Execution," Management Science, INFORMS, vol. 67(5), pages 2015-2040, May.
  16. Dang, Tung Lam & Moshirian, Fariborz & Zhang, Bohui, 2019. "Liquidity shocks and institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 184-209.
  17. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
  18. Yan, Tingjin & Chiu, Mei Choi & Wong, Hoi Ying, 2023. "Portfolio liquidation with delayed information," Economic Modelling, Elsevier, vol. 126(C).
  19. T. R. Hurd & Quentin H. Shao & Tuan Tran, 2016. "Optimal Portfolios of Illiquid Assets," Papers 1610.00395, arXiv.org.
  20. Fan, Yunqi & Fu, Hui, 2020. "Institutional investors, selling pressure and crash risk: Evidence from China," Emerging Markets Review, Elsevier, vol. 42(C).
  21. Zhang, Jinhua & Mao, Rui & Wang, Jieyu & Xing, Mengying, 2021. "The way back home: Trading behaviours of foreign institutional investors in China amid the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
  22. Larrain, Borja & Muñoz, Daniel & Tessada, José, 2017. "Asset fire sales in equity markets: Evidence from a quasi-natural experiment," Journal of Financial Intermediation, Elsevier, vol. 30(C), pages 71-85.
  23. repec:fip:fedgfe:2014-115 is not listed on IDEAS
  24. Yi Li & Ju’e Guo & Kin Keung Lai & Jinzhao Shi, 2022. "Optimal portfolio liquidation with cross-price impacts on trading," Operational Research, Springer, vol. 22(2), pages 1083-1102, April.
  25. Ben-Rephael, Azi, 2017. "Flight-to-liquidity, market uncertainty, and the actions of mutual fund investors," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 30-44.
  26. Sui, Cong & Chen, Nan & Yang, Mo, 2023. "Not all market participants are alike when facing crisis: Evidence from the 2015 Chinese stock market turbulence," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  27. Jingnan Chen & Liming Feng & Jiming Peng & Yinyu Ye, 2014. "Analytical Results and Efficient Algorithm for Optimal Portfolio Deleveraging with Market Impact," Operations Research, INFORMS, vol. 62(1), pages 195-206, February.
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