Risk Allocation Under Liquidity Constraints

Optimal Execution under Liquidity Constraints

This paper introduces a method of finding the optimal execution schedule to minimize risks under liquidity constraints. The liquidity of stocks is a significant factor for trading because a lack of liquidity leads to an inability to perform according to a preset execution schedule. The idea of liquidity constraints comes from the fact that the market impact of a small volume of trading is negli...

Liquidity risk and bank portfolio allocation

The joint existence of a lender of last resort and of a stock market is usually considered the sign of a developed financial infrastructure. This paper analyzes whether a securities market may play a role similar to that of a lender of last resort by being of assistance to a bank, which faces possible liquidity shortages. We examine which of these two institutions best prevents a bank’s liquidi...

Migration , Risk , and Liquidity Constraints in

Object Allocation Problems Under Constraints

The Object Allocation Problem (OAP) is a well studied problem in which a set X of n objects is allocated to a set N of n agents. This paper deals with a generalization called Constrained Object Allocation Problem (COAP) where the set of objects allocated to the agents must satisfy a given feasibility constraint. The input is a set X of at least n elements and a collection S of subsets of X , ea...

Liquidity Constraints

We study economies where some assets play an essential role to …nance consumption opportunities but payment arrangements are subject to a moral hazard problem. Agents can produce fraudulent assets at a positive cost, which generates an endogenous upper bound on the quantity of assets that can be exchanged for goods and services. This endogenous liquidity constraint depends on the characteristic...