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Liquidity cost vs. real investment efficiency
Bade, Marco; Hirth, Hans - In: Journal of financial markets 28 (2016), pp. 70-90
Persistent link: https://www.econbiz.de/10011722233
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Local risk-minimization with multiple assets under illiquidity with applications in energy markets
Christodoulou, Panagiotis; Detering, Nils; … - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-44
Persistent link: https://www.econbiz.de/10011891849
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Optimal execution with liquidity risk in a diffusive order book market
Lee, Hyoeun; Lee, Kiseop - In: International journal of financial engineering 10 (2023) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10014444510
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Dynamic portfolio optimization with liquidity cost and market impact : a simulation-and-regression approach
Zhang, Rongju; Langrené, Nicolas; Tian, Yu; Zhu, Zili; … - In: Quantitative finance 19 (2019) 3, pp. 519-532
Persistent link: https://www.econbiz.de/10012194674