1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.TR2023★ 1 cited
Optimal liquidation with temporary and permanent price impact, an application to cryptocurrencies
Hugo E. Ramirez, Julián Fernando Sanchez
This paper studies the optimal liquidation of stocks in the presence of temporary and permanent price impacts, and we focus in the case of cryptocurrencies. We start by presenting…
q-fin.MF2023
Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
Hugo E. Ramirez, Rafael Serrano
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous)…