Portfolio Choice and Settlement Frictions: A Theory of Endogenous Convenience Yields
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We study settlement frictions that arise from the need to finance negative balances through an over-the-counter (OTC) market. We derive a closed-form expression for the endogenous convenience yield and show how it can be incorporated into a canonical portfolio problem. Using this framework, we
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美国国家经济研究局创建时间：
2025-11-01
