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   Articles with "strategy liquidity" as a keyword



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Optimal execution strategy and liquidity adjusted value-at-risk

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recommendations! Published in 2017 at "Quantitative Finance"

DOI: 10.1080/14697688.2016.1275752

Abstract: The value-at-risk (VaR) model has been implemented at major financial institutions as required by regulatory authorities, e.g. Basel Committee on Banking Supervision (2006), Basel Committee on Bank... read more here.

Keywords: value risk; strategy liquidity; execution strategy; optimal execution ... See more keywords