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Optimization of Constrained Liquidity Management
Tawfik, Maged - 2018
A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …
Persistent link: https://www.econbiz.de/10012932264
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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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Importance sampling in stochastic optimization : an application to intertemporal portfolio choice
Ekblom, J.; Blomvall, J. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 106-119
Persistent link: https://www.econbiz.de/10012239487
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Pension fund's illiquid assets allocation under liquidity and capital requirements
Broeders, Dirk; Jansen, Kristy A. E.; Werker, Bas J. M. - In: Journal of pension economics and finance : JPEF 20 (2021) 1, pp. 102-124
Persistent link: https://www.econbiz.de/10012404062
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The LIX : a model-independent liquidity index
Guillaume, Florence - In: Journal of banking & finance 58 (2015), pp. 214-231
Persistent link: https://www.econbiz.de/10011543981
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Measuring bond-level liquidity
Konstantinovsky, Vadim; Ng, Kwok Yuen; Phelps, Bruce D. - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 116-128
Persistent link: https://www.econbiz.de/10011686109
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Optimizing portfolio liquidation under risk-based margin requirements
Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of finance and investment analysis 2 (2013) 1, pp. 121-153
This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement calculation is a self-contained inner optimization...
Persistent link: https://www.econbiz.de/10009746034
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Multistage portfolio optimization with stocks and options
Davari-Ardakani, Hamed; Aminnayeri, Majid; Seifi, Abbas - In: International transactions in operational research : … 23 (2016) 3, pp. 593-622
Persistent link: https://www.econbiz.de/10011578018
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Optimal basket liquidation for CARA investors is deterministic
Schied, Alexander; Schöneborn, Torsten; Tehranchi, Michael - In: Applied mathematical finance 17 (2010) 5/6, pp. 471-489
Persistent link: https://www.econbiz.de/10008797245
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Optimal liquidation strategies regularize portfolio selection
Caccioli, Fabio; Still, Susanne; Marsili, Matteo; … - In: The European journal of finance 19 (2013) 5/6, pp. 554-571
Persistent link: https://www.econbiz.de/10010243596