Optimal Portfolio Liquidation with Distress Risk

References

• Adrian T., Shin H. S. Financial intermediary leverage and value-at-risk. (2008) . Staff Report No. 338, Federal Reserve Bank of New York, New YorkGoogle Scholar
• Almgren R., Chriss N. Value under liquidation. Risk Magazine (1999) 12:61–63Google Scholar
• Almgren R., Chriss N. Optimal execution of portfolio transactions. J. Risk (2000) 3(2):5–39Crossref, Google Scholar
• Bertsimas D., Lo A. W. Optimal control of execution costs. J. Financial Markets (1998) 1(1):1–50Crossref, Google Scholar
• Brunnermeier M. Deciphering the liquidity and credit crunch 2007–2008. J. Econom. Perspect. (2009) 23(1):77–100Crossref, Google Scholar
• Brunnermeier M., Pedersen L. Predatory trading. J. Finance (2005) 60(4):1825–1863Crossref, Google Scholar
• Carlin B. I., Lobo M. S., Viswanathan S. Episodic liquidity crises: Cooperative and predatory trading. J. Finance (2007) 62(5):2235–2274Crossref, Google Scholar
• Chu C. S., Lehnert A., Passmore W. Strategic trading in multiple assets and the effects on market volatility. Internat. J. Central Banking (2009) 5(4):143–172Google Scholar
• DeMarzo P. M., Urošević B. Ownership dynamics and asset pricing with a large shareholder. J. Political Econom. (2006) 114(4):774–815Crossref, Google Scholar
• Duffie D., Ziegler A. Liquidity risk. Financial Analysts J. (2003) 59(3):42–51Crossref, Google Scholar
• Fedyk Y. Large investor optimization problem with direct effect of trades on prices. (2001) . Working paper, Olin School of Business, Washington University in St. Louis, St. LouisGoogle Scholar
• Gennotte G., Kyle A. Intertemporal insider trading with a smooth order flow. (1991) . Working paper, Haas School of Business Administration, University of California, Berkeley, BerkeleyGoogle Scholar
• Holthausen R., Leftwich R., Mayers D. Large block transactions, the speed of response, and temporary and permanent stock-price effects. J. Financial Econom. (1990) 26(1):71–95Crossref, Google Scholar
• Huberman G., Stanzl W. Price manipulation and quasi-arbitrage. Econometrica (2004) 72(4):1247–1275Crossref, Google Scholar
• Huberman G., Stanzl W. Optimal liquidity trading. Rev. Finance (2005) 9(2):165–200Crossref, Google Scholar
• Jorion P.Value at Risk: The New Benchmark for Managing Financial Risk (2007) 3rd ed.(McGraw-Hill, New York) Google Scholar
• Kraus A., Stoll H. Price impacts of block trading on the New York Stock Exchange. J. Finance (1972) 27(3):569–588Crossref, Google Scholar
• Lobo M. S., Fazel M., Boyd S. Portfolio optimization with linear and fixed transaction costs. Ann. Oper. Res. (2007) 152(1):341–365Crossref, Google Scholar
• Madhavan A., Cheng M. In search of liquidity: Block trades in the upstairs and downstairs markets. Rev. Financial Stud. (1997) 10(1):175–203Crossref, Google Scholar
• Manconi A., Massa M., Yasuda A. The behavior of intoxicated investors: The role of institutional investors in propagating the financial crisis of 2007–2008. (2010) . Working paper, INSEAD, Fontainebleau, FranceCrossref, Google Scholar
• Oehmke M. Liquidating illiquid collateral. (2008) . Working paper, Columbia University, New YorkGoogle Scholar
• Pólik I., Terlaky T. A survey of the S-lemma. SIAM Rev. (2007) 49(3):371–418Crossref, Google Scholar
• Pritsker M. Large investors: Implications for equilibrium asset returns, shock absorption, and liquidity. (2004) . Working paper, Federal Reserve, Washington, DCGoogle Scholar
• Sadka R. Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. J. Financial Econom. (2006) 80:309–349Crossref, Google Scholar
• Schied A., Schöneborn T. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Finance Stochastics (2009) 13(2):181–204Crossref, Google Scholar
• Scholes M. Crisis and risk management. Amer. Econom. Rev. (2000) 90(2):17–21Crossref, Google Scholar
• Vayanos D. Transaction costs and asset prices: A dynamic equilibrium model. Rev. Financial Stud. (1998) 11(1):1–58Crossref, Google Scholar