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

DOI10.1007/S10479-012-1096-3MaRDI QIDQ2393345zbMATH OpenOpenAlexFDO

Authors 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

GARCHportfolio managementfinancial risk managementemerging marketsliquidity riskeconomic capitalfinancial engineeringGCC financial marketsliquidity-adjusted value at risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 5002302 (Why is no real title available?)
• Active portfolio management with benchmarking: adding a value-at-risk constraint
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Optimal portfolios under a value-at-risk constraint
• Robust portfolios: contributions from operations research and finance

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

Describes a project that uses

Uses Software

• RiskMetrics

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