Optimization of Regulatory Economic-Capital Structured Portfolios: Modeling Algorithms, Financial Data Analytics, and Reinforcement Machine Learning in Emerging Markets
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-83799-0_11
Reference40 articles.
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3. Al Janabi, M. A. M., Arreola-Hernandez, J. A., Berger, T., & Nguyen, D. K. (2017). Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. European Journal of Operational Research, 259(3), 1121–1131.
4. Al Janabi, M. A. M. (2021a). Is optimum always optimal? A revisit of the mean-variance method under nonlinear measures of dependence and non-Normal liquidity constraints. Journal of Forecasting, 40(3), 387–415.
5. Al Janabi, M. A. M. (2021b). Multivariate portfolio optimization under illiquid market prospects: A review of theoretical algorithms and practical techniques for liquidity risk management. Journal of Modelling in Management, 16(1), 288–309.
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