Angelidis, Timotheos; Benos, Alexandros - In: Applied Financial Economics 16 (2006) 11, pp. 835-851
This paper proposes a method of calculating a Liquidity Adjusted Value-at-Risk (L-VaR) measure. Traditional VaR approaches assume perfect markets, where an investor can buy or sell any amount of stock without causing a significant price change. Such a hypothesis is seldom verified in practice,...