The liquidity discount

被引：60

作者：

Subramanian, A

Jarrow, RA

机构：

[1] Georgia Inst Technol, DuPree Coll Management, Atlanta, GA 30332 USA

[2] Susquehanna Int Grp, Bala Cynwyd, PA USA

[3] Kamakura Corp, Chigasaki, Kanagawa, Japan

[4] Cornell Univ, Johnson Sch Management, Ithaca, NY USA

来源：

MATHEMATICAL FINANCE | 2001年 / 11卷 / 04期

关键词：

liquidity risk; large investors; impulse control; value at risk;

D O I：

10.1111/1467-9965.00124

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper characterizes the liquidity discount, the difference between the market value of a trader's position and its value when liquidated. This discount occurs whenever traders face downward sloping demand curves for shares and execution lags in selling shares. This characterization enables one to modify the standard value. at risk (VaR) computation to include liquidity risk.

引用

页码：447 / 474

页数：28

共 19 条

[1]

[Anonymous], 1982, IMPULSE CONTROL QUAS

[2]

BIELECKI TR, 2000, FINANC STOCH, V4, P1

[3]

DUFFIE D., 1992, DYNAMIC ASSET PRICIN

[4] OPTIMAL IMPULSE CONTROL OF PORTFOLIOS [J].