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Incorporating asset liquidity effects in risk-capital modeling

Janabi, Mazin A. M. al - In: Review of Middle East economics and finance 6 (2010) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10009629352

Risk management in emerging markets in post 2007 - 2009 financial crisis : robust algorithms and optimization techniques under extreme events market scenarios

Janabi, Mazin A. M. al - In: Innovation, technology, and market ecosystems : …, (pp. 129-157). 2020

Persistent link: https://www.econbiz.de/10012121338

Optimization algorithms for multiple-asset portfolios with machine learning techniques : theoretical foundations of optimum and coherent economic capital structures

Janabi, Mazin A. M. al - In: Artificial intelligence and big data for financial risk …, (pp. 92-122). 2023

Persistent link: https://www.econbiz.de/10014265661

Optimization algorithms for multiple-asset portfolios with machine learning techniques : practical applications with forecasting of optimum and coherent economic capital structures

Janabi, Mazin A. M. al - In: Artificial intelligence and big data for financial risk …, (pp. 179-213). 2023

Persistent link: https://www.econbiz.de/10014265713

Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

Janabi, Mazin A. M. al; Hernandez, Jose Arreola; … - In: European journal of operational research : EJOR 259 (2017) 3, pp. 1121-1131

Persistent link: https://www.econbiz.de/10011695589

Constrained optimization algorithms for the computation of investable portfolios analytics : evaluation of economic-capital parameters for performance measurement and improvement

Janabi, Mazin A. M. al - In: Studies in economics and finance 40 (2023) 1, pp. 112-137

Persistent link: https://www.econbiz.de/10013503886

Trading risk management : practical applications to emerging-markets

Janabi, Mazin A. M. al - In: Economic & financial modelling : a journal of the … 11 (2004) 4, pp. 153-198

Persistent link: https://www.econbiz.de/10002531687

Integrating liquidity risk factor into a parametric value at risk method

Al Janabi, Mazin A. M. - In: The journal of trading 3 (2008) 3, pp. 76-87

Persistent link: https://www.econbiz.de/10003758936

Evaluation of Optimal and Coherent Risk-Capital Structures Under Adverse Market Outlooks

Al Janabi, Mazin A. M. - 2021

This research study analyses, from a fund manager’s perspective, the performance of liquidity adjusted risk modeling in obtaining optimal and coherent economic capital structures, subject to meaningful operational and financial constraints as specified by the fund manager. Specifically, the...

Persistent link: https://www.econbiz.de/10013231357

Asset Market Liquidity Risk Management : A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios

Al Janabi, Mazin A. M. - 2021

Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of...

Persistent link: https://www.econbiz.de/10013231358