Optimal execution strategy and liquidity adjusted value-at-risk

被引：5
|
作者：
Jin, Yasong [1 ]
机构：
[1] Capital One, 299 Pk Ave, New York, NY 10171 USA
来源：
QUANTITATIVE FINANCE | 2017年 / 17卷 / 08期
关键词：
D O I：
10.1080/14697688.2016.1275752
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
[No abstract available]
引用
收藏
页码：1147 / 1157
页数：11
相关论文
共 50 条
  • [21] Tsallis value-at-risk: generalized entropic value-at-risk
    Zou, Zhenfeng
    Xia, Zichao
    Hu, Taizhong
    PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2024, 38 (01) : 1 - 20
  • [22] An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
    Huang, Haohan
    Wang, Eugene
    Huang, Huaxiong
    Wang, Yong
    JOURNAL OF CREDIT RISK, 2015, 11 (04): : 1 - 28
  • [23] OPTIMAL CONTROL OF CONDITIONAL VALUE-AT-RISK IN CONTINUOUS TIME
    Miller, Christopher W.
    Yang, Insoon
    SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2017, 55 (02) : 856 - 884
  • [24] Optimal insurance design under a value-at-risk framework
    Wang, CP
    Shyu, D
    Huang, HH
    GENEVA RISK AND INSURANCE REVIEW, 2005, 30 (02): : 161 - 179
  • [25] Optimal insurance contract under a value-at-risk constraint
    Hung-Hsi Huang
    The Geneva Risk and Insurance Review, 2006, 31 : 91 - 110
  • [26] Optimal portfolios with regime switching and value-at-risk constraint
    Yiu, Ka-Fai Cedric
    Liu, Jingzhen
    Siu, Tak Kuen
    Ching, Wai-Ki
    AUTOMATICA, 2010, 46 (06) : 979 - 989
  • [27] Optimal Insurance Design Under a Value-at-Risk Framework
    Ching-Ping Wang
    David Shyu
    Hung-Hsi Huang
    The Geneva Risk and Insurance Review, 2005, 30 : 161 - 179
  • [28] Optimal insurance contract under a value-at-risk constraint
    Huang, Hung-Hsi
    GENEVA RISK AND INSURANCE REVIEW, 2006, 31 (02): : 91 - 110
  • [29] Constructing a Risky Optimal Mean/Value-at-Risk Portfolio
    Kritski, O. L.
    Belsner, O. A.
    GLOBAL ECONOMICS AND MANAGEMENT: TRANSITION TO ECONOMY 4.0, 2019, : 103 - 111
  • [30] Comment on "optimal portfolio selection in a value-at-risk framework"
    Huang, HH
    JOURNAL OF BANKING & FINANCE, 2005, 29 (12) : 3181 - 3185
12345