Min Dai, Hanqing Jin, Hong Liu. Illiquidity, position limits, and optimal investment for mutual funds. J. Economic Theory, 146(4):1598-1630, 2011. [doi]
@article{DaiJL11,
title = {Illiquidity, position limits, and optimal investment for mutual funds},
author = {Min Dai and Hanqing Jin and Hong Liu},
year = {2011},
doi = {10.1016/j.jet.2011.03.014},
url = {http://dx.doi.org/10.1016/j.jet.2011.03.014},
researchr = {https://researchr.org/publication/DaiJL11},
cites = {0},
citedby = {0},
journal = {J. Economic Theory},
volume = {146},
number = {4},
pages = {1598-1630},
}