Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
DOI10.1007/S10479-012-1096-3zbMATH Open1269.91073OpenAlexW2018900320MaRDI QIDQ2393345FDOQ2393345
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
GARCHportfolio managementfinancial risk managementemerging marketsliquidity riskeconomic capitalfinancial engineeringGCC financial marketsliquidity-adjusted value at risk
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive conditional heteroskedasticity and changes in regime
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Title not available (Why is that?)
- Robust portfolios: contributions from operations research and finance
- Active portfolio management with benchmarking: adding a value-at-risk constraint
- Optimal portfolios under a value-at-risk constraint
Cited In (6)
- 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
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
- Statistical methods for decision support systems in finance: how Benford's law predicts financial risk
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
Uses Software
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