Purpose: This paper aims to examine from commodity portfolio managers’ perspective the performance of liquidity adjusted risk modeling in assessing the market risk parameters of a large commodity portfolio and in obtaining efficient and coherent portfolios under different market...

Purpose: This study aims to examine the theoretical foundations for multivariate portfolio optimization algorithms under illiquid market conditions. In this study, special emphasis is devoted to the application of a risk-engine, which is based on the contemporary concept of liquidity-adjusted...