Liquidity and Valuation in an Uncertain World

By David A. Easley, Maureen O’Hara. 2010

215 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/490eb35d7f215bab9810782ccfc896f1c7de762d

Citations in the corpus

• Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, unknown): “V (f) = Z v u 1 Z u (f (!)) q (!) dP (!) d (q) ; 8f 2 L1 (I) ; (11)”
• Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “(27) and while ambiguity aversion structurally reduces myopic demands, the net effect on hedging demands depends on”