This Paper solves explicitly a simple equilibrium asset pricing model with liquidity risk – the risk arising from … unpredictable changes in liquidity over time. In our liquidity-adjusted capital asset pricing model, a security’s required return … depends on its expected liquidity as well as on the covariances of its own return and liquidity with market return and market …

tools come from the theory of viscosity solutions of the associated Hamilton–Jacobi–Bellman equation which turns out to be a …

tools come from the theory of viscosity solutions of the associated Hamilton–Jacobi–Bellman equation which turns out to be a …

systems in Europe. It investigates the relationship between the trading activity of a crossing network (CN) and the liquidity …

One crucial assumption in modern portfolio theory of continuous-time models is the no transaction cost assumption. This …