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Commodity Markets’ Asset Allocation with Robust Liquidity Risk Management Optimization Parameters

In: Risk Factors and Contagion in Commodity Markets and Stocks Markets

Author

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  • Mazin A. M. Al Janabi

Abstract

The following sections are included:Introduction and OverviewTheoretical Foundation of Al Janabi Model and L-VaR for Commodity Price Risk ManagementA Rational Empirical Relevance — Analysis of Large Commodity PortfoliosConcluding RemarksReferences

Suggested Citation

  • Mazin A. M. Al Janabi, 2020. "Commodity Markets’ Asset Allocation with Robust Liquidity Risk Management Optimization Parameters," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi (ed.), Risk Factors and Contagion in Commodity Markets and Stocks Markets, chapter 8, pages 197-235, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811210242_0008
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    More about this item

    Keywords

    Risk; Commodity; Commodity Markets; Stock; Risk Contagion; Contagion; Volatility;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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