Computation of market risk measures with stochastic liquidity horizon.

Gemma Colldeforns-Papiol Luis Ortiz-Gracia

Published in: J. Comput. Appl. Math. (2018)

Keyphrases

risk measures
portfolio optimization
futures market
financial markets
stock market
stock price
robust optimization
portfolio selection
portfolio management
long term
monte carlo
stock exchange
decision making
stochastic processes
stochastic programming