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Literatura académica sobre el tema "Coût illiquidité"
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Artículos de revistas sobre el tema "Coût illiquidité"
Ortiz-Molina, Hernán y Gordon M. Phillips. "Real Asset Illiquidity and the Cost of Capital". Journal of Financial and Quantitative Analysis 49, n.º 1 (febrero de 2014): 1–32. http://dx.doi.org/10.1017/s0022109014000210.
Texto completoLambert, Richard A. y Robert E. Verrecchia. "Information, Illiquidity, and Cost of Capital". Contemporary Accounting Research 32, n.º 2 (29 de septiembre de 2014): 438–54. http://dx.doi.org/10.1111/1911-3846.12078.
Texto completoDziwok, Ewa y Marta A. Karaś. "Systemic Illiquidity Noise-Based Measure—A Solution for Systemic Liquidity Monitoring in Frontier and Emerging Markets". Risks 9, n.º 7 (1 de julio de 2021): 124. http://dx.doi.org/10.3390/risks9070124.
Texto completoBelkhir, Mohamed, Mohsen Saad y Anis Samet. "Stock extreme illiquidity and the cost of capital". Journal of Banking & Finance 112 (marzo de 2020): 105281. http://dx.doi.org/10.1016/j.jbankfin.2018.01.005.
Texto completoEnow, Samuel Tabot. "Exploring illiquidity risk pre and during the COVID-19 pandemic era: Evidence from international financial markets". Journal of Accounting and Investment 24, n.º 3 (23 de junio de 2023): 676–82. http://dx.doi.org/10.18196/jai.v24i3.18139.
Texto completoLindsey, Richard R. y Andrew B. Weisman. "Forced Liquidations, Fire Sales, and the Cost of Illiquidity". Journal of Private Equity 20, n.º 1 (30 de noviembre de 2016): 45–57. http://dx.doi.org/10.3905/jpe.2016.20.1.045.
Texto completoLindsey, Richard R. y Andrew B. Weisman. "Forced Liquidations, Fire Sales, and the Cost of Illiquidity". Journal of Portfolio Management 42, n.º 2 (31 de enero de 2016): 43–55. http://dx.doi.org/10.3905/jpm.2016.42.2.043.
Texto completoRogers, L. C. G. y Surbjeet Singh. "THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING". Mathematical Finance 20, n.º 4 (22 de septiembre de 2010): 597–615. http://dx.doi.org/10.1111/j.1467-9965.2010.00413.x.
Texto completoROCH, ALEXANDRE y H. METE SONER. "RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY". International Journal of Theoretical and Applied Finance 16, n.º 06 (septiembre de 2013): 1350037. http://dx.doi.org/10.1142/s0219024913500374.
Texto completoSorokin, Yegor y Hyejin Ku. "Option replication in discrete time with the cost of illiquidity". Communications in Mathematical Sciences 14, n.º 7 (2016): 1947–62. http://dx.doi.org/10.4310/cms.2016.v14.n7.a8.
Texto completoTesis sobre el tema "Coût illiquidité"
Cai, Jiatu. "Méthodes asymptotiques en contrôle stochastique et applications à la finance". Sorbonne Paris Cité, 2016. http://www.theses.fr/2016USPCC338.
Texto completoIn this thesis, we study several mathematical finance problems related to the presence of market imperfections. Our main approach for solving them is to establish a relevant asymptotic framework in which explicit approximate solutions can be obtained for the associated control problems. In the first part of this thesis, we are interested in the pricing and hedging of European options. We first consider the question of determining the optimal rebalancing dates for a replicating portfolio in the presence of a drift in the underlying dynamics. We show that in this situation, it is possible to generate positive returns while hedging the option and describe a rebalancing strategy which is asymptotically optimal for a mean-variance type criterion. Then we propose an asymptotic framework for options risk management under proportional transaction costs. Inspired by Leland’s approach, we develop an alternative way to build hedging portfolios enabling us to minimize hedging errors. The second part of this manuscript is devoted to the issue of tracking a stochastic target. The agent aims at staying close to the target while minimizing tracking efforts. In a small costs asymptotics, we establish a lower bound for the value function associated to this optimization problem. This bound is interpreted in term of ergodic control of Brownian motion. We also provide numerous examples for which the lower bound is explicit and attained by a strategy that we describe. In the last part of this thesis, we focus on the problem of consumption-investment with capital gains taxes. We first obtain an asymptotic expansion for the associated value function that we interpret in a probabilistic way. Then, in the case of a market with regime-switching and for an investor with recursive utility of Epstein-Zin type, we solve the problem explicitly by providing a closed-form consumption-investment strategy. Finally, we study the joint impact of transaction costs and capital gains taxes. We provide a system of corrector equations which enables us to unify the results in [ST13] and [CD13]
Libros sobre el tema "Coût illiquidité"
Abbott, Ashok y Shannon P. Pratt. Cost of Illiquidity: Measuring and Applying Cost of Illiquidity in Business Valuations and Its Impact on Stock Values. Wiley & Sons, Incorporated, John, 2018.
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