Purpose This study aims to examine the theoretical foundations for multivariate portfolio
optimization algorithms under illiquid market conditions. In this study, special emphasis is …

The level of modeling sophistication in financial services has increased considerably over
the years. Nowadays, the complexity of financial problems and the vast amount of data …

This paper develops a novel approach to assess liquidity-adjusted Value-at-Risk (LVaR)
optimization of multi-asset portfolios based on vine copulas and LVaR models. This …

The allocation of resources to alternative investment opportunities is one of the most
important decisions organizations and individuals face. These decisions can be guided by …

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 …

Sectoral corporate credit risk interlinkages constitute a highly topical issue for the systemic
risk considerations of policymakers and market practitioners. We reveal the macroeconomic …

This paper undertakes an in‐sample and rolling‐window comparative analysis of
dependence, market, and portfolio investment risks on a 10‐year global index portfolio of …

Abstract The 2008–2009 Global Financial Crisis (GFC) has swayed regulators to set forth
the Solvency II agreement for determining Solvency Capital Requirement (SCR) for …

This paper investigates time-varying characteristics of illiquidity and the pricing of its risk
using a liquidity-adjusted capital asset pricing model (L-CAPM). Collecting data from a pool …

We develop a model for optimizing multiple‐asset portfolios with semi‐parametric liquidity‐
adjusted value‐at‐risk (LVaR), whereby linear correlations are substituted by the …