Efficient portfolio valuation incorporating liquidity risk

Y Tian, R Rood, CW Oosterlee

Research output: Contribution to journalArticleScientific

2 Citations (Scopus)
Original languageEnglish
Pages (from-to)1575-1586
Number of pages12
JournalQuantitative Finance
Volume13
Issue number10
DOIs
Publication statusPublished - 2013

Keywords

  • academic journal papers
  • CWTS JFIS < 0.75

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