risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

This paper is the first to study the hedging of price risk with uncertain payment dates, a frequent problem in practice … advantages with increasing hedge horizons and strongly dependent time and price risk, while linear instruments can suffice for …