Portfolio Choice and Settlement Frictions: A Theory of Endogenous Convenience Yields
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https://www.nber.org/papers/w34474
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资源简介：
We study settlement frictions that arise from the need to finance negative balances through an over-the-counter (OTC) market. We derive a closed-form expression for the endogenous convenience yield and show how it can be incorporated into a canonical portfolio problem. Using this framework, we
提供机构：
美国国家经济研究局
创建时间：
2025-11-01
