Efficient portfolio valuation incorporating liquidity risk

DOI10.1080/14697688.2013.779013zbMath1287.91136OpenAlexW2104810645MaRDI QIDQ2871410

Yu Tian, Ron Rood, Cornelis W. Oosterlee

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/21607

zbMATH Keywords

approximationliquidity riskportfolio valuationexponential MSDCladder MSDCliquidation sequence

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Life insurance surrender and liquidity risks ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

Cites Work

• A Stochastic Model for Order Book Dynamics
• Liquidity risk theory and coherent measures of risk

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