Efficient portfolio valuation incorporating liquidity risk

Y Tian, R Rood, CW Oosterlee

Research output: Contribution to journal › Article › Scientific

4 Citations (Scopus)

Keywords

@article{5e2e73537a55406592ca69b7c97a76c3,

title = "Efficient portfolio valuation incorporating liquidity risk",

keywords = "academic journal papers, CWTS JFIS < 0.75",

author = "Y Tian and R Rood and CW Oosterlee",

year = "2013",

doi = "10.1080/14697688.2013.779013",

language = "English",

volume = "13",

pages = "1575--1586",

journal = "Quantitative Finance",

issn = "1469-7688",

publisher = "Routledge - Taylor & Francis Group",

number = "10",

}

TY - JOUR

T1 - Efficient portfolio valuation incorporating liquidity risk

AU - Tian, Y

AU - Rood, R

AU - Oosterlee, CW

PY - 2013

Y1 - 2013

KW - academic journal papers

KW - CWTS JFIS < 0.75

U2 - 10.1080/14697688.2013.779013

DO - 10.1080/14697688.2013.779013

M3 - Article

SN - 1469-7688

VL - 13

SP - 1575

EP - 1586

JO - Quantitative Finance

JF - Quantitative Finance

IS - 10

ER -