Peifan Li

National University of Singapore (NUS) - Department of Mathematics

Department of Mathematics

Singapore, 117543

Singapore

SCHOLARLY PAPERS

1

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336

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19

Scholarly Papers (1)

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Portfolio Choice with Market Closure and Implications for Liquidity Premia

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Citation 19

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Management Science 62(2):368-386, 2015
Number of pages: 50 Posted: 14 Dec 2008 Last Revised: 20 Apr 2022
Min Dai, Peifan Li, Hong Liu and Yajun Wang
The Hong Kong Polytechnic University, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business
Downloads 181 (354,228)
Citation 19

Abstract:

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Market Closure, Liquidity Premia, Portfolio Selection, Optimal Investment

Portfolio Choice with Market Closure and Implications for Liquidity Premia

Number of pages: 53 Posted: 11 Mar 2009 Last Revised: 28 May 2013
Min Dai, Peifan Li, Hong Liu and Yajun Wang
The Hong Kong Polytechnic University, National University of Singapore (NUS) - Department of Mathematics, Washington University in St. Louis - Olin Business School and University of Maryland - Robert H. Smith School of Business
Downloads 155 (406,333)

Abstract:

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment