Optimization algorithms and investment portfolio analytics with machine learning techniques under time-varying liquidity constraints

• Published in: Journal of modelling in management Vol. 17; no. 3; pp. 864 - 895
• Main Author: Al Janabi, Mazin A.M.
• Format: Journal Article
• Language: English
• Published: Bradford Emerald Publishing Limited 22.08.2022; Emerald Group Publishing Limited
• Subjects: Artificial intelligence; Commodity prices; Design optimization; Financial institutions; Institutional investments; International finance; Internet of Things; Liquidity; Machine learning; Mathematical programming; Optimization algorithms; Optimization techniques; Portfolio management; Portfolio performance; Securities markets; Supply & demand; Volatility; C13; G20; Business analysis; Finance; Risk analysis; G28; Analytics; Optimization; Liquidity-adjusted value-at-risk; Stress testing; Commodity; JEL Classifications C10; Portfolio analysis; Machine learning; Liquidity risk; Portfolio management; Artificial intelligence

Purpose This paper aims to examine from commodity portfolio managers’ perspective the performance of liquidity adjusted risk modeling in assessing the market risk parameters of a large commodity portfolio and in obtaining efficient and coherent portfolios under different market circumstances. Design...