On the Scholes Liquidation Problem
收藏NBER2009-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/w15381
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How should an investor unwind a portfolio in the face of recurring and uncertain liquidity needs? We propose a model of portfolio liquidation in two periods to investigate this question, initially posed by Myron Scholes following the fall of Long Term Capital Management. We show that when the
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美国国家经济研究局创建时间：
2009-09-01
