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Tag: illiquidity
Concepts
Amihud Illiquidity
The Discount for Lack of Marketability
Hedging A Position You Cannot Trade
The Liquidity Factor
Adjusting a Valuation for a Private Company
Valuing Illiquid Real Assets with Exit Yields
Interview Questions
A 0.3 autocorrelation guts a naive Sharpe of 1.5
A mild 0.1 autocorrelation on a naive Sharpe of 1.2
A heavy 0.4 autocorrelation halves a naive Sharpe of 2.5
Correct a naive Sharpe of 1.8 for a 0.25 autocorrelation
How much does smoothing inflate a Sharpe of 2.0?
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