In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …

This paper discusses how to introduce liquidity into the well known mean-variance framework of portfolio selection … using a representative sample of Spanish equity portfolios. Either by estimating mean-variance liquidity constrained … frontiers or directly estimating optimal portfolios for alternative levels of risk aversion and preference for liquidity, we …

conditions, i.e. the varying liquidity value ofeligible assets and the associated risk. This induces a liquiditypremium, which …

credit risk transfer. The possibility of transferring credit reduces the impact of liquidity shocks on bank balance sheets …

confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose … as it reduces ex-post market participation, which worsens adverse selection and dries up market liquidity; (3) liquidity … idiosyncratic, privately known, illiquidity shocks, I show that: (5) it increases market liquidity; (6) illiquid agents are better …

Finance theory does not provide a comprehensive framework for explaining risk management within the imperfect financial …Der Artikel gibt einen Literaturüberblick zur Fragestellung, warum Unternehmen Risikomanagement betreiben und …