How to measure market liquidity risk in financial institutions?
We apply numerical stochastic dynamic programming to derive trading strategies that minimize the mean and variance of the costs of executing a large block of a security over a fixed exogenously defined time period. Financial markets are considered to be liquid if a large quantity can be traded quick...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2014
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| Texto completo: | http://hdl.handle.net/10071/6507 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/6507 |