Author: Jaroslaw Morawski
Publisher: Gabler
Keywords: assets, illiquid, decisions, investment
Number of Pages: 438
Published: 2008-12-01
List price: $83.80
ISBN-10: 383491004X
ISBN-13: 9783834910042

Real estate, private equity, arts, and even wine are gaining increasing popularity as capital investments. Attractive risk-return profiles and high diversification potentials make them valuable additions to investment portfolios. Their main drawback, however, is the low level of liquidity. Such assets cannot be bought or sold quickly without compromising large portions of their value. Despite its high practical relevance, this issue has so far received only little attention from researchers.

Author: Burkart Mönch
Publisher: Springer
Keywords: economics, mathematical, systems, notes, lecture, trading, illiquid, markets, strategic
Number of Pages: 116
Published: 2005-06-01
List price: $99.00
ISBN-10: 3540250395
ISBN-13: 9783540250395

This volume considers trading strategies in illiquid markets from three perspectives. The first chapter presents an innovative approach to investigate the interactions between the trading activities of a large investor, the stock price, and liquidity. The framework generalizes existing models by introducing a stochastic liquidity factor. The flexibility of the framework is illustrated by an application that deals with the pricing of a liquidity derivative. The second chapter focuses on a new pragmatic approach to determine optimal liquidation strategies if an investor uses market orders to unw