Dynamic equity asset allocation with liquidity-adjusted market risk criterion: Appraisal of efficient and coherent portfolios
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems and Management,Strategy and Management,Business and International Management
Link
http://link.springer.com/content/pdf/10.1057/jam.2010.28.pdf
Reference13 articles.
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3. Al Janabi, M.A.M. (2007) On the use of value at risk for managing foreign exchange exposure in large portfolios. Journal of Risk Finance 8 (3): 260–287.
4. Al Janabi, M.A.M. (2008) Integrating liquidity risk factor into a parametric value at risk method. Journal of Trading 3 (3): 76–87.
5. Best, M.J. and Grauer, R.R. (1991) On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results. Review of Financial Studies 4: 315–342.
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