Hwayoung Lee

University of Essex - Centre for Computational Finance and Economic Agents

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

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Scholarly Papers (1)

1.

Portfolio Valuation Under Liquidity and Expected Shortfall Constraints

Posted: 24 Jul 2016
Hwayoung Lee, Nick Constantinou and John G O'Hara
University of Essex - Centre for Computational Finance and Economic Agents, University of Essex - Essex Business School and University of Essex - Centre for Computational Finance and Economic Agents

Abstract:

Liquidity Risk, Portfolio Valuation, Market Impact, MSDC, Expected Shortfall