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Non-parametic liquidity-adjusted VaR model : a stochastic programming approach
Fragnière, Emmanuel; Gondzio, Jacek; Tuchschmid, Nils S.; … - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 109-116
Persistent link: https://www.econbiz.de/10008937101
Cover Image
Non-parametic liquidity-adjusted VaR model : a stochastic programming approach
Fragnière, Emmanuel; Gondzio, Jacek; Tuchschmid, Nils S.; … - In: Journal / The Capco Institute : journal of financial … 28 (2010), pp. 109-116
Persistent link: https://www.econbiz.de/10009895908