Constantin Petrov

affiliation not provided to SSRN

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It's 11pm - Do You Know Where Your Liquidity Is? The Mean-Variance Liquidity Frontier

Journal Of Investment Management, Vol. 1, No. 1, First Quarter 2003
Posted: 27 Aug 2006
Andrew W. Lo, Constantin Petrov and Martin Wierzbicki
Massachusetts Institute of Technology (MIT) - Sloan School of Management, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

Liquidity, Portfolio Optimization, Transaction, Costs, Visualization