The Application of Asymmetric Liquidity Risk Measure in Modelling the Risk of Investment
The article analyses the relationship between investment risk (as measured by the variance of returns or standard deviation of returns) and liquidity risk. The paper presents a method for calculating a new measure of liquidity risk, based on the characteristic line. In addition, it is checked what i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2015-06-01
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| Series: | Folia Oeconomica Stetinensia |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/foli-2015-0030 |