This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
The Liquidity Discount Author info | Abstract | Publisher info | Download info | Related research | Statistics Ajay Subramanian
Robert A. Jarrow
Additional information is available for the following
registered author(s):
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by Blackwell Publishing in its journal Mathematical Finance .
Volume (Year): 11 (2001)
Issue (Month): 4 ()
Pages: 447-474
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:bla:mathfi:v:11:y:2001:i:4:p:447-474Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
Order Information: Web: http://www.blackwellpublishing.com/subs.asp?ref=0960-1627
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Alexander Schied & Torsten Schöneborn, 2009.
"Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets ,"
Finance and Stochastics ,
Springer, vol. 13(2), pages 181-204, April.
[Downloadable!] (restricted)
Other versions: Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007.
"A model of optimal portfolio selection under liquidity risk and price impact ,"
Finance and Stochastics ,
Springer, vol. 11(1), pages 51-90, January.
[Downloadable!] (restricted)
Koichi Matsumoto, 2007.
"Portfolio Insurance with Liquidity Risk ,"
Asia-Pacific Financial Markets ,
Springer, vol. 14(4), pages 363-386, December.
[Downloadable!] (restricted)
Matthew Pritsker, 2005.
"Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity ,"
Finance and Economics Discussion Series
2005-36, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Anna Obizhaeva & Jiang Wang, 2005.
"Optimal Trading Strategy and Supply/Demand Dynamics ,"
NBER Working Papers
11444, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Christian A. Johnson, 2002.
"Value at Risk: Teoría y Aplicaciones ,"
Working Papers Central Bank of Chile
136, Central Bank of Chile.
[Downloadable!]
Pierre Giot & Joachim Grammig, 2006.
"How large is liquidity risk in an automated auction market? ,"
Empirical Economics ,
Springer, vol. 30(4), pages 867-887, January.
[Downloadable!] (restricted)
Other versions:
Pierre Giot & Joachim Grammig, 2002.
"How large is liquidity risk in an automated auction market? ,"
University of St. Gallen Department of Economics working paper series 2002
2002-23, Department of Economics, University of St. Gallen.
[Downloadable!] GIOT, Pierre & GRAMMIG, Joachim, 2002.
"How large is liquidity risk in an automated auction market ? ,"
CORE Discussion Papers
2002054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
[Downloadable!] James R. Thompson, 2007.
"Counterparty Risk in Insurance Contracts: Should the Insured Worry about the Insurer? ,"
Working Papers
1136, Queen's University, Department of Economics.
[Downloadable!]
Christian A. Johnson, 2000.
"Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos ,"
Working Papers Central Bank of Chile
76, Central Bank of Chile.
[Downloadable!]
Access and
download statistics Did you know? You can import bibliographic info in various formats into you bibliographic tool, or just into your word processor. See under "publisher info" on each abstract page.
This page was last updated on 2009-12-4.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .