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Keywords: Value-at-risk
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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...
