LIQUIDITY 1: VALUE UNDER LIQUIDATION - How can traders account for both liquidity and transaction costs in a portfolio theory framework?
| Year of publication: |
1999
|
|---|---|
| Authors: | Almgren, Robert ; Chriss, Neil |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 12.1999, 12, p. 61-64
|