Details about Hong Liu

Access statistics for papers by Hong Liu.

Last updated 2007-09-15. Update your information in the RePEc Author Service.

Short-id: pli314

Working Papers

Undated

1. Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
2. Optimal Consumption of a Divisible Durable Good
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
   See also Journal Article in Journal of Economic Dynamics and Control (2000)

Journal Articles

2007

1. Liquidity Premia and Transaction Costs
   Journal of Finance, 2007, 62, (5), 2329-2366 View citations
2. Rational Inattention and Portfolio Selection
   Journal of Finance, 2007, 62, (4), 1999-2040 View citations

2006

3. An analysis of VaR-based capital requirements
   Journal of Financial Intermediation, 2006, 15, (3), 362-394 View citations
4. So What Orders Do Informed Traders Use?
   Journal of Business, 2006, 79, (4), 1867-1914 View citations

2005

5. Option pricing with an illiquid underlying asset market
   Journal of Economic Dynamics and Control, 2005, 29, (12), 2125-2156 View citations

2004

6. Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets
   Journal of Finance, 2004, 59, (1), 289-338 View citations

2002

7. Optimal Portfolio Selection with Transaction Costs and Finite Horizons
   Review of Financial Studies, 2002, 15, (3), 805-835 View citations

2000

8. Optimal consumption of a divisible durable good
   Journal of Economic Dynamics and Control, 2000, 24, (4), 561-613 View citations
   See also Working Paper