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- W192085667 endingPage "92" @default.
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- W192085667 abstract "We introduce liquidity into the standard mean-variance portfolio optimization framework by defining several measures of liquidity and then constructing three-dimensional meanvariance-liquidity frontiers in three ways: liquidity filtering, liquidity constraints, and a mean-variance-liquidity objective function. We show that portfolios close to each other on the traditional mean-variance efficient frontier can differ substantially in their liquidity characteristics. In a simple empirical example, the liquidity exposure of mean-variance efficient portfolios changes dramatically from month to month, and even simple forms of liquidity optimization can yield significant benefits in reducing a portfolio’s liquidity-risk exposure without sacrificing a great deal of expected return per unit risk." @default.
- W192085667 created "2016-06-24" @default.
- W192085667 creator A5066632798 @default.
- W192085667 date "2005-12-01" @default.
- W192085667 modified "2023-10-16" @default.
- W192085667 title "IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER" @default.
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- W192085667 doi "https://doi.org/10.1142/9789812700865_0003" @default.
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