Evolutionary Portfolio Selection With Liquidity Shocks
“We show that an insurance company that merely satisfies regulatory constraints will eventually vanish from the market.”
StrategyLiquidity premiumportfolio optimization
TechniqueSymbolic search
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodLiquidity premium by year
FamilyLiquidity premium19Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 983
AssetEquities15
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
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| Aggregate Liquidity Premium and Cross-Sectional Returns: Evidence from China by Liao et al. | 2020 | ||||
| Stock Liquidity Premium With Stochastic Price Impact and Exogeous Trading Strategy by Stereńczak | 2018 | ||||
| The Pricing of the Illiquidity Factor’s Conditional Risk with Time-varying Premium by Amihud and Noh | 2016 |