Journal article
Illiquidity, position limits, and optimal investment for mutual funds
- Abstract:
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We study the optimal trading strategy of mutual funds that face both position limits and differential illiquidity. We provide explicit characterization of the optimal trading strategy and conduct an extensive analytical and numerical analysis of the optimal trading strategy. We show that the optimal trading boundaries are increasing in both the lower and the upper position limits. We find that position limits can affect current trading strategy even when they are not currently binding and oth...
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- Publisher copy:
- 10.1016/j.jet.2011.03.014
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Authors
Bibliographic Details
- Journal:
- Journal of Economic Theory
- Volume:
- 146
- Issue:
- 4
- Pages:
- 1598-1630
- Publication date:
- 2011-07-01
- DOI:
- EISSN:
-
1095-7235
- ISSN:
-
0022-0531
- Source identifiers:
-
189419
Item Description
- Pubs id:
-
pubs:189419
- UUID:
-
uuid:350d8e34-ce16-4078-b5d5-ff84004b232d
- Local pid:
- pubs:189419
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2011
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