Liquidity risk and arbitrage pricing theory

• 1 August 2004
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 8  (3) , 311-341
• https://doi.org/10.1007/s00780-004-0123-x

Abstract

Keywords

• COMPLETE MARKET
• LIQUIDITY RISK
• TRADING STRATEGY
• ARBITRAGE PRICING THEORY
• FINANCIAL MARKET
• TRANSACTION COST