Liquidity Risk with Coherent Risk Measures
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References listed on IDEAS
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Maureen O'Hara, 2001. "Overview: market structure issues in market liquidity," BIS Papers chapters,in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 1-8 Bank for International Settlements.
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KeywordsCoherent risk measures; liquidity risk; acceptable portfolio;
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