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Portfolio Valuation Under Liquidity and Expected Shortfall Constraints
Lee, Hwayoung, (2016)
Incorporating Liquidity Risk in Value-at-Risk Based on Liquidity Adjusted Returns
Wu, Lei, (2009)
Optimal leveraged portfolio selection under quasi-elastic market impact
Edirisinghe, Chanaka, (2023)
Bid-ask bias in cumulated returns : an analytical approach
Datar, Vinay T., (1998)
Bid-Ask Bias in Cumulated Returns : An Analytical Approach
Naik, Narayan Y., (1998)