2020
DOI: 10.4018/978-1-7998-0106-1.ch011
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Evaluation of Optimum and Coherent Economic-Capital Portfolios Under Complex Market Prospects

Abstract: This chapter examines the performance of liquidity-adjusted risk modeling in obtaining optimum and coherent economic-capital structures, subject to meaningful operational and financial constraints as specified by the portfolio manager. Specifically, the chapter proposes a robust approach to optimum economic-capital allocation in a liquidity-adjusted value at risk (L-VaR) framework. This chapter expands previous approaches by explicitly modeling the liquidation of trading portfolios, over the holding period, wi… Show more

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