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Placing no-arbitrage bounds on the value of nonmarketable and thinly-traded securities

Longstaff, Francis A. - In: Advances in futures and options research : a research annual 8 (1995), pp. 203-228

Persistent link: https://www.econbiz.de/10001211286

Valuing thinly traded assets

Longstaff, Francis A. - In: Management science : journal of the Institute for … 64 (2018) 8, pp. 3868-3878

Persistent link: https://www.econbiz.de/10011900055

Optimal portfolio choice and the valuation of illiquid securities

Longstaff, Francis A. - In: The review of financial studies 14 (2001) 2, pp. 407-431

Persistent link: https://www.econbiz.de/10001570570

Two trees : asset price dynamics induced by market clearing

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - 2003

Persistent link: https://www.econbiz.de/10001852332

Losing money on arbitrage : optimal dynamic portfolio choice in markets with arbitrage opportunities

Liu, Jun; Longstaff, Francis A. - In: The review of financial studies 17 (2004) 3, pp. 611-642

Persistent link: https://www.econbiz.de/10002148881

Portfolio claustrophobia: asset pricing in markets with illiquid assets

Longstaff, Francis A. - In: The American economic review 99 (2009) 4, pp. 1119-1144

Persistent link: https://www.econbiz.de/10003896623

Inflation tracking portfolios

Downing, Christopher T.; Longstaff, Francis A.; … - 2012

Persistent link: https://www.econbiz.de/10009554460

Two trees

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - In: The review of financial studies 21 (2008) 1, pp. 347-385

Persistent link: https://www.econbiz.de/10003716171

Two Trees : Asset Price Dynamics Induced by Market Clearing

Cochrane, John H. - 2010

If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise...

Persistent link: https://www.econbiz.de/10012762707

Asset mispricing

Lewis, Kurt F.; Longstaff, Francis A.; Petrasek, Lubomir - In: Journal of financial economics 141 (2021) 3, pp. 981-1006

Persistent link: https://www.econbiz.de/10012873109