Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset
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DOI: 10.1016/j.frl.2018.07.004
Abstract: Abstract When a financial institution has a difficulty to close a position in an illiquid asset, a practical solution is to hedge the risk of the position with a related liquid asset. This may frequently… read more here.
Keywords: time; time consistent; illiquid asset; asset ... See more keywords