Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints-Reference-Cited by-同舟云学术

Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints

Published:2020-07-26 Issue:3 Volume:40 Page:387-415
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Al Janabi Mazin A.M.¹^ORCID

Affiliation:

1. Tecnologico de Monterrey EGADE Business School Santa Fe Campus Mexico City Mexico

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modelling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2714

Reference70 articles.

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

3. Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects

4. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

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

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