Potravny
M.I. Incorporating Liquidity Risk in Investment Portfolio
Management. //
Economics of contemporary Russia 2008.
¹3 (39) Ñ.116-128.
This
paper aims to analyse an up-to-date methods of market risk valuation
under the
assumption of low market liquidity. The detailed analysis of the
different
liquidity risk models has been done. We analyse the problems of
investment risk
estimation in developing countries stock markets under the assumption
of low
market liquidity and financial instability. The results are based on
mathematical calculation according to the market history from MICEX and
informational resource CBONDS.
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