Liquidity and portfolio optimisation
This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a...
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Aston University
2009
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.545310 |