Liquidity Constraints for Portfolio Selection Based on Financial Volume

Eduardo Bered Fernandes Vieira () and Tiago Pascoal Filomena ()
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Eduardo Bered Fernandes Vieira: Universidade Federal do Rio Grande do Sul
Tiago Pascoal Filomena: Universidade Federal do Rio Grande do Sul

Computational Economics, 2020, vol. 56, issue 4, No 13, 1055-1077

Abstract: Abstract This paper proposes liquidity constraints for portfolio selection models based on financial volume. The constraints consider different parameters such as the value of the portfolio and the acceptable liquidation level. Different portfolio selection models were tested in different scenarios. The liquidation level and its impact on the risk level are verified in the portfolio. The results are robust for all of the performed tests, with reasonable levels of portfolio liquidation. As expected, there is an increase in the level of risk of liquidity-restricted portfolios.

Keywords: Liquidity; Portfolio selection; Liquidity constraint (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10614-019-09957-0

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