Daniel Lacker. Liquidity, Risk Measures, and Concentration of Measure. Math. Oper. Res., 43(3):813-837, 2018. [doi]
@article{Lacker18, title = {Liquidity, Risk Measures, and Concentration of Measure}, author = {Daniel Lacker}, year = {2018}, doi = {10.1287/moor.2017.0885}, url = {https://doi.org/10.1287/moor.2017.0885}, researchr = {https://researchr.org/publication/Lacker18}, cites = {0}, citedby = {0}, journal = {Math. Oper. Res.}, volume = {43}, number = {3}, pages = {813-837}, }