Investigación
calendar_month Publicación: 01/01/2006
Elección de portafolios en presencia de mercados ilíquidos
[:es]This paper addresses the portfolio selection of an investor facing illiquid markets and analyzes what the portfolio choice would be if the investor were unable to trade at all times. It is assumed that the investor can only trade at some intervals of time with an exponential distribution. In this setting, a new dimension of risk is added owing to the impossibility of modifying the portfolio. Finally, for a reasonable set of parameters, the portfolio choice model is able to rationalize the liquidity premium reported in the previous empirical literature.[:]
Fuente: Revista Abante
Volumen 9, Número 2, Páginas 79-97
