Jingnan Chen

School of Economics and Management, Beihang University

Xueyuan Road, Haidian District

Beijing, 100191

China

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Theory of Leveraged Portfolio Selection Under Liquidity Risk

Number of pages: 45 Posted: 08 Jan 2021
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology, School of Economics and Management, Beihang University and Radford University
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Abstract:

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Portfolio optimization, liquidity risk, trading impact on price, portfolio leverage, risk-adjusted returns