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Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management

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2016Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios56 cited
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2019Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach44 cited
2012Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives

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2020Multivariate portfolio optimization under illiquid market prospects: a review of theoretical algorithms and practical techniques for liquidity risk management41 cited

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