Peifan Li

National University of Singapore (NUS) - Department of Mathematics

Department of Mathematics

Singapore, 117543

Singapore

SCHOLARLY PAPERS

1

DOWNLOADS

221

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (1)

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: 30 Aug 2017
Min Dai, Peifan Li, Hong Liu and Yajun Wang
National University of Singapore (NUS) - Department of Mathematics, 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 119 (247,166)
Citation 6

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
National University of Singapore (NUS) - Department of Mathematics, 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 102 (276,117)

Abstract:

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Market Closure, Portfolio Selection, Liquidity Premia, Optimal Investment