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Liquidity Risk with Coherent Risk Measures

  • Hyejin Ku
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    This paper concerns questions related to the regulation of liquidity risk, and proposes a definition of an acceptable portfolio. Because the concern is with risk management, the paper considers processes under the physical (rather than the martingale) measure. Basically, a portfolio is 'acceptable' provided there is a trading strategy (satisfying some limitations on market liquidity) which, at some fixed date in the future, produces a cash-only position, (possibly) having positive future cash flows, which is required to satisfy a 'convex risk measure constraint'.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/13504860600563143
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    Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

    Volume (Year): 13 (2006)
    Issue (Month): 2 ()
    Pages: 131-141

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    Handle: RePEc:taf:apmtfi:v:13:y:2006:i:2:p:131-141
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    1. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    2. 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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