Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets

By Hong Liu. 2004

308 citations recorded by the source corpus.

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Liquidity and Asset Prices (2005, methodology): “328 Empirical Evidence Whereas all previous studies used a measure of liquidity as a factor, Liu (2004b) uses a factor-mimicking stock portfolio that reflects the liquidity premium, constructed in a similar way to the Fama–French SMB and HML factors.”
Multiperiod portfolio optimization with multiple risky assets and general transaction costs (2016, unknown): “Liu (2004), for instance, explains that: “the optimal trading policy involves possibly an initial discrete change (jump) in the dollar amount invested in the asset, followed by trades in the minimal amount necessary to maintain the dollar amount within a constant interval.””
Portfolio Choice Problems (2010, methodology): “Recent papers on transaction costs include Davis and Norman (1990), Duffie and Sun (1990), Akian, Menaldi, and Sulem (1996) Balduzzi and Lynch (1999), Leland (2001), Liu (2002a), and Lynch and Tan (2003).”
Liquidity Premia and Transaction Costs (2007, background): “There is a large literature on the Equity-Premium Puzzle (Risk-free Rate Puzzle) first identified by Mehra and Prescott (1985), including those using separation of the risk aversion and the intertemporal rate of substitution (e.”
Dynamic Trading with Predictable Returns and Transaction Costs (2013, unknown): “Liu (2004) determines the optimal trading strategy for”