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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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Optimal Basket Liquidation for CARA Investors is Deterministic
Schied, Alexander - 2010
We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...
Persistent link: https://www.econbiz.de/10013150407
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Optimising a bank's credit portfolio
Afful, Annshirley Aba; Asare, Michael Kofi; Afful, … - In: International journal of applied management science 8 (2016) 1, pp. 68-82
Persistent link: https://www.econbiz.de/10011592357
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Managing liquidity buffer through core liquidity portfolio
Chagwiza, Wilbert; Garira, Winston; Moyo, Simiso - In: Investment management and financial innovations 12 (2015) 1, pp. 70-77
Persistent link: https://www.econbiz.de/10010515774
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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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Optimization of Constrained Liquidity Management
Tawfik, Maged - 2018
. A decoupling between liquidity risk management and that of market and credit risks is assumed. Both linear and quadratic …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 …
Persistent link: https://www.econbiz.de/10012932264
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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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A critical evaluation of the sensitivity of a bank's balance sheet to change when optimizing for capital requirements under Basel
Cronje, F.; Rooyen, J. H. van - In: Corporate ownership & control : international … 11 (2013/14) 1, pp. 102-116
Persistent link: https://www.econbiz.de/10011327510
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Modernising intra-day liquidity optimisation for commercial banks
Feuillette, Jeremie; Towning, Will; Soramäki, Kimmo - In: Journal of digital banking 8 (2023) 1, pp. 58-64
Persistent link: https://www.econbiz.de/10014364593
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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