Dynamic equity asset allocation with liquidity-adjusted market risk criterion: Appraisal of efficient and coherent portfolios

Keyphrases

• Market Risk 100%
• Asset Allocation 100%
• Trading Portfolio 100%
• Liquidity 100%
• Fund Managers 100%
• Risk Criteria 100%
• Liquidity-adjusted Value at Risk 66%
• Dynamic Allocation 33%
• Dynamic Model 33%
• Risk Management Practices 33%
• Risk Framework 33%
• Optimization Algorithm 33%
• Portfolio Risk Management 33%
• Robust Approach 33%
• Expected Returns 33%
• Portfolio Optimization 33%
• Risk Modeling 33%
• Operational Constraints 33%
• Trading Volume 33%
• Limit Set 33%
• Budget Constraint 33%
• Managerial Perspective 33%
• Equity Trading 33%
• Optimal Portfolio Selection 33%
• Risk-adjusted 33%

Economics, Econometrics and Finance

• Portfolio Selection 100%
• Risk Management 25%
• Liquidation 25%
• Trading Volume 25%
• Risk Modeling 25%