Liquidity-adjusted risk measures (Q1938958)

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scientific article

Language	Label	Description	Also known as
English	Liquidity-adjusted risk measures	scientific article

Statements

scholarly article

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Liquidity-adjusted risk measures (English)

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Mathematics and Financial Economics

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publication date

26 February 2013

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zbMATH Keywords

liquidity

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supply-demand curves

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risk measures

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eligible asset

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capital requirements

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11579-012-0092-3

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Liquidity risk theory and coherent measures of risk

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Risk Measures and Efficient use of Capital

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No arbitrage conditions and liquidity

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MODELING LIQUIDITY EFFECTS IN DISCRETE TIME

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Liquidity risk and arbitrage pricing theory

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Stochastic Root Finding and Efficient Estimation of Convex Risk Measures

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OPTIMAL NUMERAIRES FOR RISK MEASURES

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Stochastic Finance

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Hedging of Claims with Physical Delivery under Convex Transaction Costs

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Equivalent Subgradient Versions of Hamiltonian and Euler–Lagrange Equations in Variational Analysis

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Some mathematical aspects of market impact modeling

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DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

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Identifiers

zbMATH Open document ID

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10.1007/s11579-012-0092-3

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1938958

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