The Black-Scholes theory for a portfolio with an arbitrary number of shares, x, is expanded for the case of finite liquidity. The analytical results are derived for linear market impact. As in the case of infinite liquidity (Schmidt, 2003), the arbitrage-free condition yields option price that...

Modern Portfolio Theory is a single-period model developed for the efficient securities market, in which asset prices are implicitly assumed to follow a random walk. It is widely agreed that real estate does not fit into the efficient market paradigm; however, mixed-asset portfolio analysis...

We examine whether institutional investors with different investment horizons exert different influences on a stock's liquidity effects. Our findings show that stocks increased by short-term institutions become more liquid while stocks increased by long-term institutions become less liquid....