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Who Is Afraid of Liquidity Risk? Dynamic Portfolio Choice with Stochastic Illiquidity
Joost Driessen
, R. Xing
Finance
Research Group: Finance
Research output
:
Working paper
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Other research output
Overview
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Dive into the research topics of 'Who Is Afraid of Liquidity Risk? Dynamic Portfolio Choice with Stochastic Illiquidity'. Together they form a unique fingerprint.
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Keyphrases
Dynamic Allocation
100%
Liquidity Risk
100%
Illiquidity
100%
Liquidity Risk Premium
100%
Portfolio Choice
20%
Large Shareholders
20%
Price Impact
20%
Stock Market
20%
Investment Opportunity Set
20%
Empirical Estimator
20%
Trading Costs
20%
Cost Rate
20%
CRRA Utility
20%
Stochastic Price
20%
Market Downturns
20%
Forced Selling
20%
Economics, Econometrics and Finance
Portfolio Choice
100%
Risk Premium
100%
Investors
20%
Investment Opportunity
20%
Price
20%