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Applied Mathematics and Computation
Volumn 163, Issue 2, 2005, Pages 811-824
Investment with restricted stock and the value of information
Author keywords

Continuous time finance; Illiquidity; Optimal portfolio strategy; Restricted stock; SOEs
Indexed keywords

COMPUTER SIMULATION; DECISION MAKING; DIFFERENTIAL EQUATIONS; INFORMATION USE; INVENTORY CONTROL; MARKETING; MATHEMATICAL MODELS; NUMERICAL METHODS; PROBLEM SOLVING;
EID: 13544271685     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2004.04.012     Document Type: Article
Times cited : (4)
References (11)
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    • Discounts on illiquid stocks: Evidence from China
    • September
    • Chen Zhiwu, Peng Xiong, Discounts on illiquid stocks: evidence from China, September 2001, ICF working paper
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    • Zhiwu, C.1    Xiong, P.2
  • 3
    • 0001668150 scopus 로고    scopus 로고
    • Transform analysis and asset pricing for affine jump-diffusions
    • Duffie D., Pan J., Singleton K. Transform analysis and asset pricing for affine jump-diffusions. Econometrica. 68:2000;1343-1376
    • (2000) Econometrica , vol.68 , pp. 1343-1376
    • Duffie, D.1    Pan, J.2    Singleton, K.3
  • 4
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    • An exact solution to a dynamic portfolio choice problem under transaction costs
    • Dumas B., Luciano E. An exact solution to a dynamic portfolio choice problem under transaction costs. J. Finance. 46:1991;577-595
    • (1991) J. Finance , vol.46 , pp. 577-595
    • Dumas, B.1    Luciano, E.2
  • 5
    • 0001073135 scopus 로고
    • The Use of Knowledge in Society
    • Hayek F.H. The Use of Knowledge in Society. AER. Sept. 35:1945;519-530
    • (1945) AER. Sept. , vol.35 , pp. 519-530
    • Hayek, F.H.1
  • 6
    • 0037322582 scopus 로고    scopus 로고
    • Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it
    • Kahl M., Liu J., Longstaff F.A. Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it. J. Finan. Econ. 67:2003;385-410
    • (2003) J. Finan. Econ. , vol.67 , pp. 385-410
    • Kahl, M.1    Liu, J.2    Longstaff, F.A.3
  • 7
    • 0036296927 scopus 로고    scopus 로고
    • Optimal portfolio selection with transaction costs and finite horizons
    • Liu H., Loewenstein M. Optimal portfolio selection with transaction costs and finite horizons. Rev. Finan. Stud. 15:2002;805-835
    • (2002) Rev. Finan. Stud. , vol.15 , pp. 805-835
    • Liu, H.1    Loewenstein, M.2
  • 8
    • 0142219266 scopus 로고    scopus 로고
    • Dynamic asset allocation with event risk
    • Liu J., Longstaff F., Pan J. Dynamic asset allocation with event risk. J. Finance. 58:2003;231-259
    • (2003) J. Finance , vol.58 , pp. 231-259
    • Liu, J.1    Longstaff, F.2    Pan, J.3
  • 9
    • 0035587953 scopus 로고    scopus 로고
    • Optimal portfolio choice and the valuation of illiquid securities
    • Longstaff F.A. Optimal portfolio choice and the valuation of illiquid securities. Rev. Finan. Stud. 14(2):2001;407-431
    • (2001) Rev. Finan. Stud. , vol.14 , Issue.2 , pp. 407-431
    • Longstaff, F.A.1
  • 10
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    • Lifetime portfolio selection under uncertainty: The continuous time model
    • Merton R. Lifetime portfolio selection under uncertainty: the continuous time model. Rev. Econom. Statist. 51:1969;247-257
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    • Optimum consumption and portfolio rules in a continuous time model
    • Merton R. Optimum consumption and portfolio rules in a continuous time model. J. Econom. Theory. 3:1971;373-413
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    • Merton, R.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.