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Distribution of bankruptcy time in a consumption/portfolio problem
Presman, Ernst - In: Journal of economic dynamics & control 20 (1996) 1, pp. 471-477
Persistent link: https://www.econbiz.de/10001190598
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Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time : multi-period mean-variance formulation
Keykhaei, Reza - In: Operational research : an international journal 20 (2020) 3, pp. 1231-1254
Persistent link: https://www.econbiz.de/10012291150
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Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun; Xu, Zuo Quan - In: Operations research letters 44 (2016) 6, pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
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The portfolio heuristic optimisation system (PHOS)
Loukeris, N.; Eleftheriadis, I.; Livanis, E. - In: Computational economics 48 (2016) 4, pp. 627-648
Persistent link: https://www.econbiz.de/10011713087
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Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de/10013371220
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Illiquidity, insolvency, and banking regulation
Cao, Jin - 2010
liquidity and solvency shocks. Extending the work by Cao & Illing (2009a, b), it is shown that systemic liquidity shortage … extra cost for banking regulation and makes some schemes that are optimal under pure illiquidity risks (such as liquidity …
Persistent link: https://www.econbiz.de/10003952099
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Illiquidity, insolvency, and banking regulation
Cao, Jin - 2011
Persistent link: https://www.econbiz.de/10009377185
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A model of dynamic liquidity contracts
Özgür, Onur - 2010
Persistent link: https://www.econbiz.de/10009427998
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Liquidity, leverage, and Lehman : a structural analysis of financial institutions in crisis
Chen, Ren-Raw; Chidambaran, Nemmara; Imerman, Michael B.; … - In: Journal of banking & finance 45 (2014), pp. 117-139
Persistent link: https://www.econbiz.de/10010466618
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Dealer financial conditions and lender-of-last-resort facilities
Acharya, Viral V.; Fleming, Michael J.; Hrung, Warren B.; … - 2014
provided liquidity against a range of assets during 2008-09. Dealers with lower equity returns and greater leverage prior to … liquidity in explaining dealer behavior. The results suggest that both financial performance and balance sheet liquidity play a …
Persistent link: https://www.econbiz.de/10010404154