González, Ana; Rubio, Gonzalo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 1, pp. 53-74
This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection … obtain strong effects of liquidity on optimal portfolio selection. In particular, portfolio performance, measured by the … Sharpe ratio relative to the tangency portfolio, varies significantly with liquidity.When the investor shows no preference …