Liquidity, Risk Measures, and Concentration of Measure

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},
}