risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and … Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an …