Risk-averse dynamic arbitrage in illiquid markets
Year of publication: |
April 2018
|
---|---|
Authors: | Moazeni, Somayeh ; Collado, Ricardo A. ; Zhang, Andy |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 4, p. 55-74
|
Subject: | price impact | dynamic arbitrage | dynamic risk measure | stochastic dynamic optimization | illiquid market | Arbitrage Pricing | Arbitrage pricing | Portfolio-Management | Portfolio selection | Arbitrage | Dynamische Wirtschaftstheorie | Economic dynamics | Marktliquidität | Market liquidity | Liquidität | Liquidity | Stochastischer Prozess | Stochastic process |
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