Theoretical and practical foundations of liquidity-adjusted value-at-risk (LVaR)

Janabi, Mazin A. M. Al

doi:10.4324/9780429024061-1

Cited by 3 publications

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“…For this research, the risk is considered in the framework of the portfolio theory, which provides quantitative responses for decision-making. The formalization and the quantification of the risk indicators are successfully applied in the portfolio theory ( Sharpe, 1999 ; Janabi, 2019 ; Malz, 2011 ; Du Plessis, Van Rensburg, 2020 ). The risk has a stochastic nature and its management has to consider this random behavior ( Šimovi'c and Tafro, 2021 , Guo et al., 2021 ).…”

Section: Overview Of Formal Definitions Of the Risk In Husbandry Mana...mentioning

confidence: 99%

“…Currently, this index is accepted as a new risk indictor, which assessment and management provide many positive effects for the decision-making ( Chen, 2018 ; Menéndez and Hassani, 2021 ). VaR gives a quantitative level of the risk in terms of maximum likely loss ( Janabi, 2019 ). It exists an attempt to apply a VaR form of risk in inventory modeling ( Luciano et al., 2003 ; Zhi et al., 2021 ).…”

Section: Overview Of Formal Definitions Of the Risk In Husbandry Mana...mentioning

confidence: 99%

“…The same expression can be rewritten with the cumulative probability function F (x) of the stochastic variable X and the value of VaR =

, which is illustrated in Figure 3 . The index VaR took different modifications and forms, which are titled “liquidity-adjusted value-at-risk” (LVaR) and “conditional VaR” (CVaR) ( Al Janabi, 2019 ; Ranković et al., 2016 ).

Figure 3 Graphical interpretation of VaR with cumulative density function.…”

Section: Overview Of Formal Definitions Of the Risk In Husbandry Mana...mentioning

confidence: 99%

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Planning resource allocation for husbandry management by portfolio optimization

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Section: Overview Of Formal Definitions Of the Risk In Husbandry Mana...mentioning

confidence: 99%

Section: Overview Of Formal Definitions Of the Risk In Husbandry Mana...mentioning

confidence: 99%

“…The same expression can be rewritten with the cumulative probability function F (x) of the stochastic variable X and the value of VaR =

Figure 3 Graphical interpretation of VaR with cumulative density function.…”

Section: Overview Of Formal Definitions Of the Risk In Husbandry Mana...mentioning

confidence: 99%

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Planning resource allocation for husbandry management by portfolio optimization

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The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem

Stoilov

Stoilova

Vladimirov

2021

Cybernetics and Information Technologies

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The paper realizes inclusion of probabilistic measure for risk, VaR (Value at Risk), into a portfolio optimization problem. The formal analysis of the portfolio problem illustrates the evolution of the portfolio theory in sequentially inclusion of different market characteristics into the problem. They make modifications and complications of the portfolio problem by adding various constraints to consider requirements for taxes, boundaries for assets, cardinality constraints, and allocation of the investment resources. All these characteristics and parameters of the investment participate in the portfolio problem by analytical algebraic relations. The VaR definition of the portfolio risk is formalized in a probabilistic manner. The paper applies approximation of such probabilistic constraint in algebraic form. Geometrical interpretation is given for explaining the influence of the VaR constraint to the portfolio solution. Numerical simulation with data of the Bulgarian Stock Exchange illustrates the influence of the VaR constraint into the portfolio optimization problem.

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Evaluation of Optimum and Coherent Economic-Capital Portfolios Under Complex Market Prospects

Janabi

2020

Handbook of Research on Big Data Clustering and Machine Learning

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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, with the aid of an appropriate scaling of the multiple-assets' L-VaR matrix along with GARCH-M technique to forecast conditional volatility and expected return. Moreover, in this chapter, the authors develop a dynamic nonlinear portfolio selection model and an optimization algorithm, which allocates both economic-capital and trading assets by minimizing L-VaR objective function. The empirical results strongly confirm the importance of enforcing financially and operationally meaningful nonlinear and dynamic constraints, when they are available, on the L-VaR optimization procedure.

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Theoretical and practical foundations of liquidity-adjusted value-at-risk (LVaR)

Cited by 3 publications

References 1 publication

Planning resource allocation for husbandry management by portfolio optimization

Planning resource allocation for husbandry management by portfolio optimization

The Probabilistic Risk Measure VaR as Constraint in Portfolio Optimization Problem

Evaluation of Optimum and Coherent Economic-Capital Portfolios Under Complex Market Prospects

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