Search Results - subject:"Adjusted value‐at‐risk"

Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis

Al Janabi, Mazin A. M. - In: International journal of financial engineering 2 (2015) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10011403192

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

Al Janabi, Mazin A.M. - In: Economic Modelling 40 (2014) C, pp. 369-381

subject to minimizing the Liquidity-Adjusted Value-at-Risk (LVaR) and various financial and operational constraints such as …

Persistent link: https://www.econbiz.de/10010781994

Optimal and investable portfolios : an empirical analysis with scenario optimization algorithms under crisis market prospects

Al Janabi, Mazin A. M. - In: Economic modelling 40 (2014), pp. 369-381

Persistent link: https://www.econbiz.de/10010425591

On the appraisal of LVaR throughout the close-out period : an investment management outlook from recent global financial crisis

Al Janabi, Mazin A. M. - In: International journal of management practice : IJMP 6 (2013) 3, pp. 248-285

Persistent link: https://www.econbiz.de/10009790987

Value‐at‐risk adjusted to the specificities of emerging markets : An analysis for the Tunisian market

Snoussi, Wafa; El‐Aroui, Mhamed‐Ali - In: International Journal of Emerging Markets 7 (2012) 1, pp. 86-100

Purpose – The specific criteria to the microstructure of emerging markets such as low liquidity, very pronounced asymmetric information, and high volatility affect the risk market. Previous researchers have concluded that the calculation methods of the Value‐at‐Risk (VaR) adopted in...

Persistent link: https://www.econbiz.de/10014788223

Modeling coherent trading risk parameters under illiquid market perspective

Al Janabi, Mazin A.M. - In: Studies in Economics and Finance 28 (2011) 4, pp. 301-320

period, with the aid of an appropriate scaling of the multiple‐assets' liquidity‐adjusted value‐at‐risk matrix. The key …

Persistent link: https://www.econbiz.de/10015013642

Modeling coherent trading risk parameters under illiquid market perspective

Janabi, Mazin A.M. Al - In: Studies in Economics and Finance 28 (2011) October, pp. 301-320

period, with the aid of an appropriate scaling of the multiple-assets' liquidity-adjusted value-at-risk matrix. The key …

Persistent link: https://www.econbiz.de/10010551625

Modeling coherent trading risk parameters under illiquid market perspective

Al Janabi, Mazin A. M. - In: Studies in economics and finance 28 (2011) 4, pp. 301-320

Persistent link: https://www.econbiz.de/10009388603

MARKET LIQUIDITY AND STRATEGIC ASSET ALLOCATION: APPLICATIONS TO GCC STOCK EXCHANGES

JANABI, MAZIN A. M. AL - In: Middle East Development Journal (MEDJ) 01 (2009) 02, pp. 227-254

indicators for the period 2004–2009 and the Liquidity-Adjusted Value at Risk (L-VaR) model, the author finds that the …

Persistent link: https://www.econbiz.de/10008493074