Ren Liu

ETH Zürich

Rämistrasse 101

Zurich, CH-8092

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

772

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Who Should Sell Stocks?

Number of pages: 34 Posted: 07 Sep 2014 Last Revised: 02 Nov 2017
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 366 (152,723)

Abstract:

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transaction costs, dividends, long-run, portfolio choice

2.

Optimal Rebalancing Frequencies for Multidimensional Portfolios

Swiss Finance Institute Research Paper No. 15-44
Number of pages: 25 Posted: 18 Oct 2015 Last Revised: 14 Sep 2017
Florida State University, ETH Zürich and Imperial College London - Department of Mathematics
Downloads 236 (240,533)
Citation 2

Abstract:

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transaction costs, optimal trading frequency, optimal investment, multiple assets

3.

Rebalancing with Linear and Quadratic Costs

Swiss Finance Institute Research Paper No. 14-16
Number of pages: 30 Posted: 28 Feb 2014 Last Revised: 04 Sep 2017
ETH Zürich, Imperial College London - Department of Mathematics and National University of Singapore (NUS) - Department of Mathematics
Downloads 170 (324,422)

Abstract:

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price impact, transaction costs, portfolio choice, long-run