Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
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Publication:2393345
DOI10.1007/s10479-012-1096-3zbMath1269.91073MaRDI QIDQ2393345
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
GARCH; financial engineering; emerging markets; portfolio management; financial risk management; liquidity risk; economic capital; GCC financial markets; liquidity-adjusted value at risk
91G10: Portfolio theory
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