Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives

DOI10.1007/s10479-012-1096-3zbMath1269.91073OpenAlexW2018900320MaRDI QIDQ2393345

Mazin A. M. Al Janabi

Publication date: 7 August 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-012-1096-3

zbMATH Keywords

GARCHfinancial engineeringemerging marketsportfolio managementfinancial risk managementliquidity riskeconomic capitalGCC financial marketsliquidity-adjusted value at risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises ⋮ Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups ⋮ Liquidity drops ⋮ Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios ⋮ A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost

Uses Software

• RiskMetrics

Cites Work

• Unnamed Item
• Active portfolio management with benchmarking: adding a value-at-risk constraint
• Optimal portfolios under a value-at-risk constraint
• Robust portfolios: contributions from operations research and finance
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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