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Optimal execution strategy in liquidity framework

Benazzoli, Chiara; Di Persio, Luca - In: Cogent economics & finance 5 (2017) 1, pp. 1-14

A trader wishes to execute a given number of shares of an illiquid asset. Since the asset price also depends on the trading behaviour, the trader main aim is to find the execution strategy that minimizes the related expected costs. We solve this problem in a discrete time framework, by modeling...

Persistent link: https://www.econbiz.de/10011886557

Towards a common Eurozone risk free rate

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 21 (2015) 10/12, pp. 1005-1022

Persistent link: https://www.econbiz.de/10011301938

The relationship between liquidity risk and probability of default : evidence from the Euro area

Cucinelli, Doriana - In: Risk governance & control : financial markets & institutions 3 (2013) 1, pp. 42-50

Persistent link: https://www.econbiz.de/10011437345

The impacts of liquidity measures and credit rating on corporate bond yield spreads : evidence from China's green bond market

Chang, Kai; Feng, Yan Ling; Liu, Wang; Lu, Ning; Li, … - In: Applied economics letters 28 (2021) 17, pp. 1446-1457

Persistent link: https://www.econbiz.de/10012626592

Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange

Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220

developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is … of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency … risk of bankruptcy are able to meet their short-term liabilities. Liquidity and solvency measured by financial ratios …

Persistent link: https://www.econbiz.de/10012303197