Efficient Portfolio Valuation Incorporating Liquidity Risk
نویسندگان
چکیده
According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public market data and idiosyncratic portfolio constraints imposed by an investor holding the portfolio. Depending on the constraints, one and the same portfolio could have different values for different investors. As it turns out, within the Acerbi-Scandolo theory, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that portfolio valuation can be solved with remarkable accuracy and efficiency.
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