基于流动性调整市场风险模型的资产配置:与多资产组合的实证关联

Mutual Funds Pub Date : 2021-05-18 DOI:10.2139/ssrn.3847074

Mazin A. M. Al Janabi

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引用次数: 0

摘要

在本文中，作者展示了一种实用的方法来衡量、管理和控制金融交易组合的市场风险暴露。该方法基于著名的流动性调整风险价值(L-VaR)概念，以及在不同相关因素和清算范围的概念下利用矩阵代数技术创建的软件工具。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Asset Allocation with Liquidity-Adjusted Market Risk Modeling: Empirical Relevance to Multiple-Asset Portfolios

In this paper, the author demonstrate a practical approach for measurement, management and control of market risk exposure for financial trading portfolios. This approach is based on the renowned concept of Liquidity-Adjusted Value at Risk (L-VaR) along with the creation of a software tool utilizing matrix-algebra technique under the notion of different correlation factors and liquidation horizons.

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Mutual Funds

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