Risk measuring under liquidity risk
From MaRDI portal
Publication:4610215
DOI10.1080/1350486X.2017.1374871zbMath1398.91560arXiv1412.6745OpenAlexW3121626849MaRDI QIDQ4610215
Publication date: 6 April 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1412.6745
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Unnamed Item
- Unnamed Item
- Convex analysis and nonlinear optimization. Theory and examples.
- On convex risk measures on \(L^{p}\)-spaces
- Hedging and liquidation under transaction costs in currency markets
- Liquidity risk and arbitrage pricing theory
- Vector-valued coherent risk measures
- Understanding the cubic and half-cubic laws of financial fluctuations
- Liquidity-adjusted risk measures
- Set-valued risk measures for conical market models
- Mean field games via controlled martingale problems: existence of Markovian equilibria
- Coherent Measures of Risk
- AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
- ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
- Liquidity risk theory and coherent measures of risk
- CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
- IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING
- Convex Analysis
- Stochastic finance. An introduction in discrete time
This page was built for publication: Risk measuring under liquidity risk