absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and …

liquidity model of Almgren (2003). Using a stochastic control approach, we characterize the value function and the optimal … of the position but increasing in the liquidity price impact. …

liquidity than industry specific risk characteristics. …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return … their historical limits, counterparties for trades become scarce and prices must adjust to induce trade. These liquidity …

). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e …

We review the theories on how liquidity affects the required returns of capital assets and the empirical studies that … test these theories. The theory predicts that both the level of liquidity and liquidity risk are priced, and empirical … studies find the effects of liquidity on asset prices to be statistically significant and economically important, controlling …