naa a22 4500 510808514 CHVBK 20180411083430.0 cr unu---uuuuu 180411e20130901xx s 000 0 eng 10.1007/s11579-013-0097-6 doi (NATIONALLICENCE)springer-10.1007/s11579-013-0097-6 Acceptability indexes via $$g$$ -expectations: an application to liquidity risk [Elektronische Daten] [Emanuela Rosazza Gianin, Carlo Sgarra] Recently, several authors focused their attention on acceptability indexes (AI) and their applications in Finance. The AI notion turns out to be quite flexible and several applications in different directions have been proposed. In particular, in Cherny and Madan (Int J Theor Appl Finance 13(8):1149-1177, 2010) illiquid markets are modeled via AI and bid and ask prices are described through a "Conic Finance” approach. A different approach of dynamic type to bid and ask prices has been suggested by Bion-Nadal (J Math Econ 45(11):738-750, 2009), taking into account both transaction costs and liquidity risk, and based on time consistent pricing procedures. The purpose of the present paper is to suggest a further link between AI and risk measures based on the notion of $$g$$ -expectation, and by this powerful tool to fill the gap between the static description of liquidity introduced by Corcuera et al. (Int J Portfolio Anal Manag 1(1):80-91, 2012) and the dynamic description provided by Bion-Nadal (J Math Econ 45(11):738-750, 2009). Springer-Verlag Berlin Heidelberg, 2013 Liquidity risk nationallicence Acceptability indexes nationallicence $$g$$ -Expectations nationallicence Convex risk measures nationallicence Rosazza Gianin Emanuela Dipartimento di Statistica e Metodi Quantitativi, University of Milano-Bicocca, Milan, Italy aut Sgarra Carlo Dipartimento di Matematica, Politecnico di Milano, Milan, Italy aut Mathematics and Financial Economics Springer Berlin Heidelberg 7/4(2013-09-01), 457-475 1862-9679 7:4<457 2013 7 11579 https://doi.org/10.1007/s11579-013-0097-6 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-013-0097-6 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Rosazza Gianin Emanuela Dipartimento di Statistica e Metodi Quantitativi, University of Milano-Bicocca, Milan, Italy aut NATIONALLICENCE 700 1- Sgarra Carlo Dipartimento di Matematica, Politecnico di Milano, Milan, Italy aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer Berlin Heidelberg 7/4(2013-09-01), 457-475 1862-9679 7:4<457 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer