The price of liquidity in constant leverage strategies.
Marcos Escobar; Andreas Kiechle; Luis Seco; Rudi Zagst
RACSAM (2009)
- Volume: 103, Issue: 2, page 373-385
- ISSN: 1578-7303
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topEscobar, Marcos, et al. "The price of liquidity in constant leverage strategies.." RACSAM 103.2 (2009): 373-385. <http://eudml.org/doc/43701>.
@article{Escobar2009,
author = {Escobar, Marcos, Kiechle, Andreas, Seco, Luis, Zagst, Rudi},
journal = {RACSAM},
keywords = {CPPI; hedge fund; liquidity premium; constant leverage strategy},
language = {eng},
number = {2},
pages = {373-385},
title = {The price of liquidity in constant leverage strategies.},
url = {http://eudml.org/doc/43701},
volume = {103},
year = {2009},
}
TY - JOUR
AU - Escobar, Marcos
AU - Kiechle, Andreas
AU - Seco, Luis
AU - Zagst, Rudi
TI - The price of liquidity in constant leverage strategies.
JO - RACSAM
PY - 2009
VL - 103
IS - 2
SP - 373
EP - 385
LA - eng
KW - CPPI; hedge fund; liquidity premium; constant leverage strategy
UR - http://eudml.org/doc/43701
ER -
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