LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS - CHRISTODOULOU, PANAGIOTIS; DETERING, NILS; MEYER-BRANDIS, THILO (International journal of theoretical and applied finance, 2018)
Keywords: Assets; Discrete time; Economic models; Energy industry; Finance; Financial instruments; Hedging; Liquidity; Markets; Minimization; Simulation; Trading; liquidity cost; multiple assets; Local risk-minimization; energy markets; quadratic hedging