Is the relative importance of the liquidity term in LVAR greater or smaller as the number of

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Is the relative importance of the liquidity term in LVAR greater or smaller as the number of assets increases in a portfolio?

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Value at Risk The New Benchmark for Managing Financial Risk

ISBN: 978-0071464956

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Authors: Philippe Jorion

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Question Posted: May 03, 2016 02:20 AM

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Is the relative importance of the liquidity term in LVAR greater or smaller as the number of

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The liquidity term in LVAR grows linearly with t...View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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