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Quantitative Finance Volume 13, 2013 - Issue 10: Themed Issue on Fund Management
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Research Papers

Efficient portfolio valuation incorporating liquidity risk

Yu Tian School of Mathematical Sciences, Monash University, Melbourne, VIC, 3800, AustraliaCorrespondence[email protected]
,
Ron Rood RBS—The Royal Bank of Scotland, 280 Bishopsgate, London EC2M 4RB, UK
&
Cornelis W. Oosterlee CWI—Centrum Wiskunde & Informatica, P.O. Box 94079, 1090 GB Amsterdam, The Netherlands
Pages 1575-1586 | Received 21 Dec 2010, Accepted 14 Feb 2013, Published online: 27 Jun 2013

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Read on this site (3)

Dongyeol Lee & Woo Chang Kim. (2023) Optimal intertemporal liquidation of institutional investors with cash requirements and viable loans. The European Journal of Finance 0:0, pages 1-24.
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Hsiaoyin Chang & Hato Schmeiser. (2022) Life insurance surrender and liquidity risks. Quantitative Finance 22:4, pages 761-776.
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Rongju Zhang, Nicolas Langrené, Yu Tian, Zili Zhu, Fima Klebaner & Kais Hamza. (2019) Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach. Quantitative Finance 19:3, pages 519-532.
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Articles from other publishers (4)

Judit Hevér. (2017) A likviditás és a permanens árhatás szerepe a portfólióértékelésben. Közgazdasági Szemle 64:6, pages 594-611.
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Stefano Portolan & Calogero Nicosia. (2016) Portfolio Liquidity Risk: A Practitioner Perspective. SSRN Electronic Journal.
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Rongju Zhang, Nicolas Langrenn, Yu Tian, Zili Zhu, Fima Klebaner & Kais Hamza. (2016) Dynamic Portfolio Optimisation with Intermediate Costs: A Least-Squares Monte Carlo Simulation Approach. SSRN Electronic Journal.
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Yu Tian. (2013) The Hybrid Stochastic-Local Volatility Model with Applications in Pricing FX Options. SSRN Electronic Journal.
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