This article investigates mean risk hedging with respect to limited liquidity and studies the impact of different risk … the relevant hedging markets are characterized by limited liquidity. We enhance the approach in Woll and Weber (2015) to a … mean-risk optimization under limited liquidity, including the risk measures absolute and relative Value and Conditional …

The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … short period carry more of liquidity risk. This means that short term investors load on liquidity risk when making …

to Markowitz. Yet a key restriction in most electricity markets is the limited liquidity. Therefore the standard model … has to be adapted to cope with limited liquidity. An application of this model shows that the optimal hedging strategy for …-covariancematrix used and the liquidity function assumed. …

number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key … element is missing: liquidity also depends on (3) an asset s correlation with other securities. For example, if an illiquid … security is added, the liquidity of the non-market asset is still a decreasing function of volatility and an increasing …

bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate … only if it is feasible for him to also affect market liquidity, by either increasing or decreasing it. …

funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …