Portfolio valuation under liquidity constraints with permanent price impact
نویسندگان
چکیده
منابع مشابه
Efficient Portfolio Valuation Incorporating Liquidity Risk
According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public market data and idiosyncratic portfolio constraints imposed by an investor holding the portfolio. Depending on the constraints, one and the same portfolio could have different values for different investors. As it turns out, within the Acerbi-Scandolo theory, portfolio valuation ...
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2018
ISSN: 1544-6123
DOI: 10.1016/j.frl.2018.02.019