The Liquidity Risk Premium Demanded by Large Investors: Dynamic Portfolio Choice with Stochastic Illiquidity

SSRN Electronic Journal ◽

10.2139/ssrn.2711718 ◽

2015 ◽

Author(s):

Joost Driessen ◽

Ran Xing

Keyword(s):

Portfolio Choice ◽

Risk Premium ◽

Liquidity Risk ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Efficient Parallel Solution Methods for Dynamic Portfolio Choice Models in Discrete Time

SSRN Electronic Journal ◽

10.2139/ssrn.2665031 ◽

2015 ◽

Cited By ~ 4

Author(s):

Vanya Horneff ◽

Raimond Maurer ◽

Peter Schober

Keyword(s):

Portfolio Choice ◽

Discrete Time ◽

Choice Models ◽

Parallel Solution ◽

Solution Methods ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Dynamic Portfolio Choice: A Simulation Approach

SSRN Electronic Journal ◽

10.2139/ssrn.271188 ◽

2001 ◽

Cited By ~ 6

Author(s):

Michael W. Brandt ◽

Amit Goyal ◽

Pedro Santa-Clara

Keyword(s):

Portfolio Choice ◽

Simulation Approach ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Robust Dynamic Portfolio Choice Based on Out-Of-Sample Performance

SSRN Electronic Journal ◽

10.2139/ssrn.3434092 ◽

2019 ◽

Author(s):

Rainer Alexander Schüssler

Keyword(s):

Portfolio Choice ◽

Out Of Sample ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Generalized Euler Equation Errors for Discrete Time Dynamic Portfolio Choice Models

SSRN Electronic Journal ◽

10.2139/ssrn.3448482 ◽

2019 ◽

Cited By ~ 1

Author(s):

Yannick Dillschneider ◽

Raimond Maurer ◽

Peter Schober

Keyword(s):

Euler Equation ◽

Portfolio Choice ◽

Discrete Time ◽

Choice Models ◽

Time Dynamic ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Dynamic Portfolio Choice with Stochastic Wage and Life Insurance

North American Actuarial Journal ◽

10.1080/10920277.2015.1041987 ◽

2015 ◽

Vol 19 (4) ◽

pp. 256-272 ◽

Cited By ~ 5

Author(s):

Xudong Zeng ◽

Yuling Wang ◽

James M. Carson

Keyword(s):

Portfolio Choice ◽

Life Insurance ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Optimal Dynamic Portfolio Choice in Complete Markets

Dynamic Asset Allocation with Forwards and Futures ◽

10.1007/0-387-24106-x_4 ◽

2005 ◽

pp. 59-79

Keyword(s):

Portfolio Choice ◽

Complete Markets ◽

Dynamic Portfolio ◽

Optimal Dynamic ◽

Dynamic Portfolio Choice

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Dynamic portfolio choice under the time-varying, jumps, and knight uncertainty of asset return process

Journal of Systems Science and Complexity ◽

10.1007/s11424-012-9367-2 ◽

2012 ◽

Vol 25 (5) ◽

pp. 896-908 ◽

Cited By ~ 2

Author(s):

Chaolin He ◽

Weidong Meng

Keyword(s):

Portfolio Choice ◽

Time Varying ◽

Asset Return ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice ◽

Return Process

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Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix

European Journal of Operational Research ◽

10.1016/j.ejor.2017.08.010 ◽

2018 ◽

Vol 265 (1) ◽

pp. 389-398 ◽

Cited By ~ 3

Author(s):

Yi Hong ◽

Xing Jin

Keyword(s):

Portfolio Choice ◽

Analytical Solutions ◽

Jump Diffusion ◽

Diffusion Models ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Dynamic Portfolio Choice

Extreme Financial Risks and Asset Allocation - Series in Quantitative Finance ◽

10.1142/9781783263097_0012 ◽

2014 ◽

pp. 303-329

Keyword(s):

Portfolio Choice ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids

SSRN Electronic Journal ◽

10.2139/ssrn.3393524 ◽

2019 ◽

Cited By ~ 2

Author(s):

Dirk Pflüger ◽

Peter Schober ◽

Julian Valentin

Keyword(s):

Portfolio Choice ◽

Choice Models ◽

Sparse Grids ◽

High Dimensional ◽

B Splines ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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