A generalized theoretical modelling approach for the assessment of economic-capital under asset market liquidity risk constraints
Author:
Publisher
Informa UK Limited
Subject
Management of Technology and Innovation,Strategy and Management
Link
http://www.tandfonline.com/doi/pdf/10.1080/02642069.2010.503878
Reference18 articles.
1. Market Liquidity and Strategic Asset Allocation: Applications to GCC Stock Exchanges
2. Commodity price risk management: Valuation of large trading portfolios under adverse and illiquid market settings
3. Integrating Liquidity Risk Factor into a Parametric Value at Risk Method
4. On the use of value at risk for managing foreign‐exchange exposure in large portfolios
5. Foreign‐exchange trading risk management with value at risk
Cited by 16 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Governance Practices and Regulations for Derivative Products in Emerging Markets in the Wake of the COVID-19 Pandemic and the Subprime Global Financial Meltdown;Accounting, Finance, Sustainability, Governance & Fraud: Theory and Application;2023
2. Constrained optimization algorithms for the computation of investable portfolios analytics: evaluation of economic-capital parameters for performance measurement and improvement;Studies in Economics and Finance;2022-03-08
3. FORMS OF CAPITAL AND THE CREATION OF JOBS BY IMMIGRANT-OWNED BUSINESSES IN SOUTHERN AFRICA;Journal of Developmental Entrepreneurship;2022-03
4. Optimization of Regulatory Economic-Capital Structured Portfolios: Modeling Algorithms, Financial Data Analytics, and Reinforcement Machine Learning in Emerging Markets;Financial Data Analytics;2022
5. Optimization algorithms and investment portfolio analytics with machine learning techniques under time-varying liquidity constraints;Journal of Modelling in Management;2021-05-12
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3