Nematrian Reference Library
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| Reference | Title | Link |
| Bordag, L.A, Yamshchikov, I.P. and Zhelezov, D. (2014) | Portfolio Optimization in the case of an asset with a given liquidation time distribution | here |
Abstract (partial)
"Management of portfolios containing low liquidity portfolios is a tedious problem. The buyer proposes a price that can differ greatly from the paper value estimated by the seller, and the seller does not liquidate his portfolio immediately but waits for a more favourable offer. To minimize losses in this case we need to develop new methods ..." |
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