Dynamic Trading with Predictable Returns and Transaction Costs

By Nicolae Gârleanu, Lasse Heje Pedersen. 2013

556 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cf20ffcef8ee86d09903f9eb9ec1913ca234e000

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Citations in the corpus

Option Hedging with Smooth Market Impact (2016, background): “Guéant and Pu [2015] have solved a model very similar to ours, including both temporary and permanent price impact.”
Multiperiod portfolio optimization with multiple risky assets and general transaction costs (2016, unknown): “One exception is Gˆarleanu and Pedersen (2013) (hereafter G&P), who consider a framework that allows them to provide closed-form expressions for the optimal portfolio policy in the presence of quadratic transaction costs.”
TRADING WITH SMALL PRICE IMPACT (2014, unknown): “22The discussion for several risky assets is analogous, but the formulas are more involved and harder to interpret. of Garleanu and Pedersen (2013) as well as Almgren and Li (2011).”
Time Series Momentum (2012, background): “Our finding of positive time series momentum that partially reverse over the long-term may be consistent with initial under-reaction and delayed over-reaction, which theories of sentiment suggest can produce these return patterns.2 However, our results also pose several challenges to these theories.”
Fire‐Sale Spillovers and Systemic Risk (2015, unknown): “Illiquid assets could be optimally sold first if their price is expected to decrease more in the future irrespective of their liquidity, or precisely because of their liquidity, as more illiquid assets there are being fire sold will have a lower future price (Gârleanu and Pedersen, 2013).”
DYNAMIC TRADING VOLUME (2012, unknown): “In models of return predictability, which lead to a moving target, the interplay between these trading motives may be different (cf. Gârleanu and Pedersen 2013 in a mean-variance setting).”
Risk Everywhere: Modeling and Managing Volatility (2018, unknown): “47 Garleanu and Pedersen (2013, 2016) show that this strategy is optimal under certain conditions, including quadratic transaction costs due to, for example, market impact.”