Article ID Journal Published Year Pages File Type
8954578 Finance Research Letters 2018 16 Pages PDF
Abstract
In this paper, for a given period, we introduce an optimization problem for valuing illiquid portfolios with permanent price impacts. We show how to find the optimal trade to satisfy certain portfolio constraints. As a policy implication, we note that introducing permanent price impacts in internal or external regulation can substantially change liquidity risk or capital requirements.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Portfolio valuation under liquidity constraints with permanent price impact
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