Consequences of CLO Portfolio Constraints

SSRN Electronic Journal ◽

10.2139/ssrn.3371162 ◽

2019 ◽

Author(s):

Maria Loumioti ◽

Florin P. Vasvari

Keyword(s):

Portfolio Constraints

Download Full-text

Reconciling Factor Optimization with Portfolio Constraints

SSRN Electronic Journal ◽

10.2139/ssrn.2446090 ◽

2014 ◽

Cited By ~ 1

Author(s):

Boris Gnedenko ◽

Igor Yelnik

Keyword(s):

Portfolio Constraints

Download Full-text

Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation

Journal of Mathematical Economics ◽

10.1016/s0304-4068(99)00020-8 ◽

2000 ◽

Vol 33 (2) ◽

pp. 135-153

Author(s):

Yunhong Yang

Keyword(s):

Habit Formation ◽

Optimal Consumption ◽

Portfolio Constraints

Download Full-text

Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints

Review of Financial Studies ◽

10.1093/rfs/hht030 ◽

2013 ◽

Vol 26 (12) ◽

pp. 3104-3141 ◽

Cited By ~ 55

Author(s):

Georgy Chabakauri

Keyword(s):

Dynamic Equilibrium ◽

Portfolio Constraints

Download Full-text

Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints

Stochastic Processes and their Applications ◽

10.1016/s0304-4149(00)00007-7 ◽

2000 ◽

Vol 88 (2) ◽

pp. 305-328 ◽

Cited By ~ 10

Author(s):

Nizar Touzi

Keyword(s):

Stochastic Volatility ◽

Portfolio Constraints

Download Full-text

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Mathematics and Financial Economics ◽

10.1007/s11579-018-0223-6 ◽

2018 ◽

Vol 13 (1) ◽

pp. 115-146 ◽

Cited By ~ 5

Author(s):

Robert Jarrow

Keyword(s):

Asset Price ◽

Market Equilibrium ◽

Liquidity Risk ◽

Asset Market ◽

Capital Asset ◽

Asset Price Bubbles ◽

Price Bubbles ◽

Portfolio Constraints

Download Full-text

Heterogeneous Portfolio Constraints and Wealth Distribution Dynamics

SSRN Electronic Journal ◽

10.2139/ssrn.3047990 ◽

2017 ◽

Author(s):

Jeongmin Lee

Keyword(s):

Wealth Distribution ◽

Distribution Dynamics ◽

Portfolio Constraints

Download Full-text

< Portfolio Constraints and Information Ratio

Quantitative Equity Portfolio Management ◽

10.1201/9781420010794-18 ◽

2007 ◽

pp. 373-410

Keyword(s):

Information Ratio ◽

Portfolio Constraints

Download Full-text

Fiat money and the value of binding portfolio constraints

Economic Theory ◽

10.1007/s00199-009-0510-9 ◽

2009 ◽

Vol 46 (2) ◽

pp. 189-209 ◽

Cited By ~ 9

Author(s):

Mário R. Páscoa ◽

Myrian Petrassi ◽

Juan Pablo Torres-Martínez

Keyword(s):

Portfolio Constraints ◽

Fiat Money

Download Full-text

Asset Pricing with Heterogeneous Preferences, Beliefs, and Portfolio Constraints

SSRN Electronic Journal ◽

10.2139/ssrn.2513902 ◽

2014 ◽

Author(s):

Georgy Chabakauri

Keyword(s):

Asset Pricing ◽

Heterogeneous Preferences ◽

Portfolio Constraints

Download Full-text

Beliefs, Portfolio Constraints, Speculation and Asset Pricing: A General Equilibrium Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.3234919 ◽

2018 ◽

Author(s):

Nam H Dau

Keyword(s):

Asset Pricing ◽

General Equilibrium ◽

Equilibrium Analysis ◽

General Equilibrium Analysis ◽

Portfolio Constraints

Download Full-text