Multivariate portfolio optimization under illiquid market...

Multivariate portfolio optimization under illiquid market prospects: a review of theoretical algorithms and practical techniques for liquidity risk management

Al Janabi, Mazin A. M.
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Volume:
ahead-of-p
Journal:
Journal of Modelling in Management
DOI:
10.1108/jm2-07-2019-0178
Date:
June, 2020
File:
PDF, 272 KB
2020
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