Nematrian Reference Library
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Set out below is information (held by the Nematrian website) on the reference you have selected
| Reference | Title | Link |
| Birge, J.R. (2006) | Liquidity Risk in Dynamic Portfolio Optimization | here |
Additional Nematrian Commentary
This slide presentation explores the impact that liquidity risk has on portfolio optimisation. It concludes that liquidity risk (especially trading restrictions) can change optimal portfolio characteristics, that solutions to the problem are possible using dynamic programming approaches and that there are possible extensions to more general formulations |
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