Liquidity risk and instabilities in portfolio optimization
Year of publication: |
August 2016
|
---|---|
Authors: | Caccioli, Fabio ; Kondor, Imre ; Marsili, Matteo |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 5, p. 1-28
|
Subject: | Portfolio optimization | estimation error | expected shortfall | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
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