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The liquidity risk of liquid hedge funds

✍ Scribed by Melvyn Teo


Book ID
113711319
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
475 KB
Volume
100
Category
Article
ISSN
0304-405X

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This study examines the impact of liquidity risk on the behavior of the competitive firm under price uncertainty in a dynamic two-period setting. The firm has access to unbiased one-period futures and option contracts in each period for hedging purposes. A liquidity constraint is imposed on the firm