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

DOI10.1007/s10479-012-1096-3zbMath1269.91073MaRDI 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

GARCH; financial engineering; emerging markets; portfolio management; financial risk management; liquidity risk; economic capital; GCC financial markets; liquidity-adjusted value at risk

Mathematics Subject Classification ID

91G10: Portfolio theory

Related Items

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

Uses Software

• RiskMetrics

Cites Work

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