List of papers on a new portfolio theory incorporating liquidity risk and others:
Liquidity Risk Theory and Coherent Measures of Risk-Carlo Acerbi and Giacomo Scandolo
Portfolio theory in Iliquid Markets-Carlo Acerbi
Market liquidity risk and market risk management-Yu Tian
Portfolio valuation incorporating liquidity risk-Yu Tian, Ron Rood and Kees Oolsterlee
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