"A model of optimal portfolio selection under liquidity risk and price impact."

Vathana Ly Vath, Mohamed Mnif, Huyên Pham (2007)

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DOI: 10.1007/S00780-006-0025-1

access: closed

type: Journal Article

metadata version: 2020-07-22

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Vathana Ly Vath, Mohamed Mnif, Huyên Pham:
A model of optimal portfolio selection under liquidity risk and price impact. Finance Stochastics 11(1): 51-90 (2007)

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