Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach

Author:

Al Janabi Mazin A.M.,Ferrer Román,Shahzad Syed Jawad Hussain

Funder

Valencian regional government

Spanish government

Regional Government of Valencia

the Spanish government, Ministerio de Ciencia, Innovación y Universidades

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference43 articles.

1. Beyond Value at Risk, the New Science of Risk Management;Dowd,1998

2. Value At Risk, the New Benchmark for Managing Financial Risk;Jorion,2007

3. Portfolio liquidity-adjusted value-at-risk;Botha;South Afr. J. Econ. Manag. Sci.,2008

4. Liquidity adjusted value-at-risk based on the components of the bid–ask spread;Angelidis;Appl. Financial Econ.,2006

5. Optimal and coherent economic-capital structures, evidence from long and short-sales trading positions under illiquid market perspectives;Al Janabi;Ann. Oper. Res.,2013

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