/

Nematrian Reference Library

[this page | back links]

Set out below is information (held by the Nematrian website) on the reference you have selected

Pages on this website that contain links to this reference include SystemicRiskReferences8

Abstract "The authors consider the execution of portfolio transactions with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. In the space of time-dependent liquidation strategies, the efficient frontier consists of strategies having the lowest expected execution cost for a given level of uncertainty; with a linear cost model this frontier can be explicitly constructed. It is then possible to select particular optimal strategies either by minimizing a quadratic utility function or by minimizing value-at-risk (VaR). The latter choice leads to the concept of liquidity-adjusted VaR, or L-VAR, which explicitly considers the best tradeoff between volatility risk and liquidation costs."

See here to choose a new Category/Sub-Category or here for a list of all references held by the Nematrian website. Please contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.

---