Fragnière, Emmanuel; Gondzio, Jacek; Tuchschmid, Nils; … - In: Journal of Financial Transformation 28 (2010), pp. 109-116
This paper proposes a Stochastic Programming (SP) approach for the calculation of the liquidity-adjusted Value-at-Risk (LVaR). The model presented in this paper offers an alternative to Almgren and Chriss’s mean-variance approach (1999 and 2000). In this research, a two-stage stochastic...
