[BOOK][B] Investment Decisions on Illiquid Assets: A Search Theoretical Approach to Real Estate Liquidity

J Morawski - 2009 - books.google.com
The Portfolio Selection Model developed by Markowitz in the 1950s offers a theore-cally
founded approach to combining securities into a utility-optimizing investment portfolio, that …

Optimal liquidation of venture capital stakes

R Dubil - Journal of Entrepreneurial Finance, JEF, 2002 - econstor.eu
We model the optimal liquidation behavior of a venture capital or non-diversified asset
management firm faced with a sale of concentrated security holdings. As the firm. s stake is …

[BOOK][B] An empirical examination of NYSE liquidity commonality, decimalization, and market microstructure effects within a conditional price duration framework

N Kosturov - 2004 - search.proquest.com
This study utilizes TAQ data for 40 NYSE stocks to apply a transaction signing, filtering, and
aggregation algorithm in order to isolate price durations, defined as the length of time …

Liquidity Measurement

J Morawski - Investment Decisions on Illiquid Assets: A Search …, 2009 - Springer
The definition of liquidity provided in Chapter 1 is crucial for the delimitation of this feature
from other relevant characteristics of investment alternatives. However, it is still insufficient …

[CITATION][C] Optimal liquidation of large security holdings in thin markets

R Dubil - Research in International Entrepreneurial Finance and …, 2002