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Patience is a Virtue: Optimal Investment in the Presence of Market Resilience
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Rebalancing Multiple Assets with Mutual Price Impact
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Investing for the Long Run when Returns Are Predictable
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Asymptotic analysis of long‐term investment with two illiquid and correlated assets
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Homogenization and Asymptotics for Small Transaction Costs
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Dynamic Portfolio Execution and Information Relaxations
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Optimal Investment with Transient Price Impact
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AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
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Optimal execution of portfolio transactions
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How Markets Slowly Digest Changes in Supply and Demand
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Homogenization and Asymptotics for Small Transaction Costs
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Portfolio and Consumption Decisions Under Mean-Reverting Returns: An Exact Solution for Complete Markets
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Optimal Trading Strategy and Supply/Demand Dynamics
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Continuous Auctions and Insider Trading
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Brownian Motion and Stochastic Calculus.
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Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market
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Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets
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Consumption and Portfolio Decisions When Expected Returns are Time Varying
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An Equilibrium Model for the Cross-Section of Liquidity Premia
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Dynamic Portfolio Choice with Intertemporal Hedging and Transaction Costs
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Trading with Concave Price Impact and Impact Decay—Theory and Evidence
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