Optimal Portfolio Choice and the Valuation of Illiquid Securities

By Francis A. Longstaff. 2001

300 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/46131efa484053194d78d48ed964f0213b15ae21

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In Accounting

1. Michael Firth
2. Liping Xu
3. Gong-meng Chen
4. Y. Xin
5. Surbjeet Singh
6. Peng Xiong
7. L. Rogers
8. Zhiwu Chen

In Economics and Econometrics

1. Surbjeet Singh
2. Michael Firth
3. Y. Xin
4. Peng Xiong
5. Liping Xu
6. L. Rogers
7. Gong-meng Chen
8. Zhiwu Chen

In Finance

1. Michael Firth
2. Liping Xu
3. Gong-meng Chen
4. Y. Xin
5. Surbjeet Singh
6. Peng Xiong
7. L. Rogers
8. Zhiwu Chen

Citations in the corpus

• Dynamic Asset Allocation with Event Risk (2001, unknown): “This result parallels Longstaff (2001) where investors facing illiquid or nonmarketable assets endogenously restrict their portfolio leverage.”
• THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (2010, background): “(iii) We could take l(x) = 0 (|x| ≤ a) = ∞ (|x| > a) to model a situation where any trade up to a certain size would be allowed; this is in effect the situation in [13].”
• OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (2013, unknown): “Çetin, Soner, and Touzi (2010) consider the same approach but they restrict the set of admissible strategies (see also Longstaff 2001) to obtain positive liquidity costs and prices that eventually depart from those in the Black–Scholes model.”
• Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it? ☆ (2001, unknown): “…and Shleifer (1999) show that in most 2For example, see Mayers (1972, 1973), Grossman and Laroque (1990), Amihud and Mendelson (1991), Boudoukh and Whitelaw (1991, 1993), Kamara (1994), Longstaff (1995, 2001a, 2001b), Vayanos (1998), Huang (1998), and Brenner, Eldor, and Hauser (2001).”
• Control Transfers, Privatization, and Corporate Performance: Efficiency Gains in China's Listed Companies (2008, methodology): “While impressive growth rates have been recorded in the national economy (Jefferson, Rawski, Wang, and Zhang (2000), Rawski (1994)), the corporate sector has not achieved the successes expected of it.”
• Discounts On Illiquid Stocks: Evidence From China (2001, background): “In asset pricing theory, Longstaff (1995a, 1995b, 2001) has developed valuation models for illiquid securities, where illiquidity exists in the form of limits on the number of shares that can be traded.”
• The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices (2002, unknown): “8Other relevant papers about the effects of liquidity on asset prices include Lippman and McCall (1986), Boudoukh and Whitelaw (1993), Longstaff (1995, 2001), Brenner, Eldor, and Hauser (2001), and Holmström and Tirole (2001).”
• Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management (2008, unknown): “New work in asset pricing has demonstrated how liquidity plays a key role in security valuation and optimal portfolio choice by effectively imposing endogenous borrowing and shortselling constraints, as argued by Longstaff (1998) and the references therein.”
• The Divergence of Liquidity Commonality in the Cross-Section of Stocks (2007, unknown): “Third, Longstaff (2001) and Longstaff (2005) show that asset illiquidity has a significant effect on the optimal portfolio choices of investors, leading them to abandon diversification as a strategy.”