References
- Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5: 31-56.
- Amihud, Y. & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17: 223-249.
- Avramov, D., Chordia, T. & Goyal, A. (2006). Liquidity and Autocorrelation in Individual Stock Returns, Journal of Finance, 61 (5): 2365-2394.10.1111/j.1540-6261.2006.01060.x
- Battesse, G.E. & Coelli, T.J. (1992). Frontier production functions, technical efficiency and panel data with application to paddy fanners in India. Journal of Productivity Analysis, 3: 153-169.
- Battesse, G.E. & Coelli, T.J. (1995). A Model for Technical Inefficiency Effects in a Stochastic Frontier Production Function for Panel Data. Empirical Economics, 20: 325-332.
- Battesse, G.E. & CoRRA, G.S. (1977). Estimation of a Production Frontier Model: Witch Application to the Pastoral Zone of Eastern Australia. Australian Journal of Agricultural Economics, 21: 169-179.
- Engle, R.F. (1982). Autoregressive conditional heteroscedasticity, with estimates of the variance of United Kingdom inflation. Econometrica, 50: 987-1007.
- Garsztka P. (2012). Konstrukcja portfela papierów wartościowych z uwzględnieniem płynności walorów. In: Matematyka i informatyka na usługach ekonomii : metody, analizy, prognozy. Ed. D. Appenzeller. Poznań: Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu (UEP), No. 242 (pp. 56-68).
- Harvey, A.C. (1990). The Econometric Analysis of Time Series. 2nd ed. Hemel Hempstead: Philip Allan.
- Jacobs, B. & Levy, K. (2013). Leverage Aversion, Efficient Frontiers, and the Efficient Region. The Journal of Portfolio Management, 39 (3): 54-64.
- Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7: 77-91.
- Pastor, L. & Stambaught, R. (2003). Liquidity risk and expected stock returns. Journal of Political Economy. 111: 642-685.
- Pla-Santamaria, D. & Bravo, M. (2013). Portfolio optimization based on downside risk: a meansemivariance efficient frontier from Dow Jones blue chips. Annals of Operations Research, 205 (1): 189-201.
- Sharpe, W.F. (1970). Portfolio Theory and Capital Markets. McGraw-Hill, USA.
- Wolski, R. (2013). Measures of downside risk under conditions of downturn in the real estate market. Real Estate Management and Valuation, 21 (3): 81-87.