Optimal Leveraged Portfolio Selection Under Quasi-Elastic Market Impact
References
- (2005) Asset pricing with liquidity risk. J. Financial Econom. 77(2):375–410.Crossref, Google Scholar
- (2000) Optimal execution of portfolio transactions. J. Risk 3(2):5–39.Crossref, Google Scholar
- (2005) Direct estimation of equity market impact. Risk 18(7):58–62.Google Scholar
- (2005) Liquidity and asset prices. Foundations Trends Finance 1(4):269–364.Crossref, Google Scholar
- (2012) Leverage aversion and risk parity. Financial Anal. J. 68(1):47–59.Crossref, Google Scholar
- (2009) How markets slowly digest changes in supply and demand. Hens T, Schenk-Hoppé KR, eds. Handbook of Financial Markets: Dynamics and Evolution (North-Holland, San Diego), 57–160.Crossref, Google Scholar
- (2010) Optimal portfolio liquidation with distress risk. Management Sci. 56(11):1997–2014.Link, Google Scholar
- (2009) Market liquidity and funding liquidity. Rev. Financial Stud. 22(6):2201–2238.Crossref, Google Scholar
- (2019) Impact is not just volatility. Quant. Finance 19(11):1763–1766.Crossref, Google Scholar
- (2007) Episodic liquidity crises: Cooperative and predatory trading. J. Finance 62(5):2235–2274.Crossref, Google Scholar
- (2012) Demystifying equity risk-based strategies: A simple alpha plus beta description. J. Portfolio Management 38(3):56–70.Crossref, Google Scholar
- (2011) Risk parity portfolio vs. other asset allocation heuristic portfolios. J. Investing 20(1):108–118.Crossref, Google Scholar
- (2014) Analytical results and efficient algorithm for optimal deleveraging with market impact. Oper. Res. 62(1):195–206.Link, Google Scholar
- (2023) Optimal portfolio execution with a Markov chain approximation approach. IMA J. Management Math. 34(1):165–186.Crossref, Google Scholar
- (2004) International evidence on institutional trading behavior and price impact. J. Finance 59(2):869–898.Crossref, Google Scholar
- (2008) Toward maximum diversification. J. Portfolio Management 35(1):40–51.Crossref, Google Scholar
- Edirisinghe C, Jeong J (2022) Mean-variance portfolio efficiency under leverage aversion and trading impact. J. Risk Financial Management 15(3):98.Google Scholar
- (2021) Optimal portfolio deleveraging under market impact and margin restrictions. Eur. J. Oper. Res. 294(2):746–759.Crossref, Google Scholar
- (2014) Betting against beta. J. Financial Econom. 111(1):1–25.Crossref, Google Scholar
- (2018) Trading costs. Preprint, submitted August 22, https://dx.doi.org/10.2139/ssrn.3229719.Google Scholar
- (2017) Asymmetry in the permanent price impact of block purchases and sales: Theory and empirical evidence. J. Futures Markets 37(4):359–373.Crossref, Google Scholar
- (2013) Dynamic trading with predictable returns and transaction costs. J. Finance 68(6):2309–2340.Crossref, Google Scholar
- (2016) Dynamic portfolio choice with frictions. J. Econom. Theory 165:487–516.Crossref, Google Scholar
- (2012) Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Internat. J. Theoretical Appl. Finance 14(3):353–368.Crossref, Google Scholar
- (2007) Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, 1st ed. (Oxford University Press, New York).Google Scholar
- (2012) The market impact of a limit order. J. Econom. Dynamic Control 36(4):501–522.Crossref, Google Scholar
- (1990) Large-block transactions, the speed of response, and temporary and permanent stock price effects. J. Financial Econom. 26(1):71–95.Crossref, Google Scholar
- (2004) Price manipulation and quasi-arbitrage. Econometrica 72(4):1247–1275.Crossref, Google Scholar
- (2005) Optimal liquidity trading. Rev. Finance 9(2):165–200.Crossref, Google Scholar
- (2012) Leverage aversion and portfolio optimality. Financial Anal. J. 68(5):89–94.Crossref, Google Scholar
- (2013) Leverage aversion, efficient frontiers, and the efficient region. J. Portfolio Management 39(3):54–64.Crossref, Google Scholar
- (1972) Price impacts of block trading on the New York Stock Exchange. J. Finance 27(3):569–588.Crossref, Google Scholar
- (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335.Crossref, Google Scholar
- (2020) Which factors with price-impact costs? Preprint, submitted October 30, https://dx.doi.org/10.2139/ssrn.3688484.Google Scholar
- (2010) The properties of equally weighted risk contribution portfolios. J. Portfolio Management 36(4):60–70.Crossref, Google Scholar
- (1952) Portfolio selection. J. Finance 7(1):77–91.Google Scholar
- (2020) Market or limit orders? Quant. Finance 20(3):447–461.Crossref, Google Scholar
- (2018) Technical note—A robust perspective on transaction costs in portfolio optimization. Oper. Res. 66(3):733–739.Link, Google Scholar
- (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.Crossref, Google Scholar
- (2006) On the financial interpretation of risk contribution: Risk budgets do add up. J. Investment Management 4(4):1–11.Google Scholar
- (2008) A theory of strategic intermediation and endogenous liquidity. Preprint, submitted November 14, 2007, https://dx.doi.org/10.2139/ssrn.1029400.Google Scholar
- (1984) A simple implicit measure of the effective bid-ask spread in an efficient market. J. Finance 39(4):1127–1139.Crossref, Google Scholar
- (2010) Optimal basket liquidation for CARA investors is deterministic. Appl. Math. Finance 17(6):471–489.Crossref, Google Scholar
- (2007) Liquidation in the face of adversity: Stealth vs. sunshine trading. Preprint, submitted August 27, https://dx.doi.org/10.2139/ssrn.1007014.Google Scholar
- (2011) Anomalous price impact and the critical nature of liquidity in financial markets. Physical Rev. X 1(2):021006.Google Scholar

