Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
From MaRDI portal
Publication:1751938
DOI10.1016/j.ejor.2016.11.019zbMath1402.91659OpenAlexW2552791088MaRDI QIDQ1751938
Duc Khuong Nguyen, Mazin A. M. Al Janabi, Theo Berger, Jose Arreola Hernandez
Publication date: 25 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/84626/1/MPRA_paper_84626.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Related Items (9)
The shifting dependence dynamics between the G7 stock markets ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ A comparison of tail dependence estimators ⋮ Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric ⋮ Optimal multivariate financial decision making ⋮ Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets ⋮ International capital asset pricing model: the case of asymmetric information and short-sale ⋮ Copula-based Black-Litterman portfolio optimization ⋮ Random credibilitic portfolio selection problem with different convex transaction costs
Cites Work
- Unnamed Item
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
- A linearized value-at-risk model with transaction costs and short selling
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Active portfolio management with benchmarking: adding a value-at-risk constraint
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
- Generalized autoregressive conditional heteroscedasticity
- Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
- 60 years of portfolio optimization: practical challenges and current trends
- RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
- Proper Conditioning for Coherent VaR in Portfolio Management
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Time series models with univariate margins in the convolution-closed infinitely divisible class
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
This page was built for publication: Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
