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)

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Uses Software

• RiskMetrics

Cites Work

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