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Keywords: Liquidity risk
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Journal Articles
Optimization algorithms and investment portfolio analytics with machine learning techniques under time-varying liquidity constraints
Available to Purchase
Journal:
Journal of Modelling in Management
Journal of Modelling in Management (2022) 17 (3): 864–895.
Published: 12 May 2021
.... Al Janabi can be contacted at: mazinaljanabi@gmail.com 03 10 2020 21 02 2021 28 02 2021 © Emerald Publishing Limited 2021 Emerald Publishing Limited Licensed re-use rights only Analytics Commodity Liquidity risk Optimization Machine learning Portfolio...
Journal Articles
Multivariate portfolio optimization under illiquid market prospects: a review of theoretical algorithms and practical techniques for liquidity risk management
Available to Purchase
Journal:
Journal of Modelling in Management
Journal of Modelling in Management (2021) 16 (1): 288–309.
Published: 06 July 2020
... of liquidity-adjusted value-at-risk (LVaR), to multivariate optimization of investment portfolios. Design/methodology/approach This paper examines the modeling parameters of LVaR technique under event market settings and discusses how to integrate asset liquidity risk into LVaR models. Finally, the authors...
