Mazin A. M. Al Janabi
Mazin A. M. Al Janabi
EGADE Business School, Tecnológico de Monterrey, Santa Fe Campus, Mexico City, Mexico.
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An empirical investigation of the informational efficiency of the GCC equity markets: evidence from bootstrap simulation
MAM Al Janabi, A Hatemi-J, M Irandoust
International Review of Financial Analysis 19 (1), 47-54, 2010
Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
MAM Al Janabi, JA Hernandez, T Berger, DK Nguyen
European Journal of Operational Research 259 (3), 1121-1131, 2017
Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
MAM Al Janabi
Annals of Operations Research 205 (1), 109-139, 2013
Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach
J Arreola Hernandez, S Hammoudeh, DK Nguyen, MAM Al Janabi, ...
Applied Economics 49 (25), 2409-2427, 2017
Integrating liquidity risk factor into a parametric value at risk method
MAM Al Janabi
The Journal of Trading 3 (3), 76-87, 2008
Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach
MAM Al Janabi, R Ferrer, SJH Shahzad
Physica A: Statistical Mechanics and its Applications 536, 122579, 2019
Optimal Commodity Asset Allocation with a Coherent Market Risk Modeling
MAM Al Janabi
Review of Financial Economics 21 (3), 131-140, 2012
Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects
MAM Al Janabi
Economic Modelling 40, 369-381, 2014
A generalized theoretical modelling approach for the assessment of economic-capital under asset market liquidity risk constraints
MAM Al Janabi
The Service Industries Journal 31 (13), 2193-2221, 2011
Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model
S Grillini, A Ozkan, A Sharma, MAM Al Janabi
International Review of Financial Analysis 64, 145-158, 2019
Forecasting of dependence, market, and investment risks of a global index portfolio
J Arreola Hernandez, MAM Al Janabi
Journal of Forecasting 39 (3), 512-532, 2020
Multivariate portfolio optimization under illiquid market prospects: a review of theoretical algorithms and practical techniques for liquidity risk management
MAM Al Janabi
Journal of Modelling in Management 16 (1), 288-309, 2021
Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios
J Arreola Hernandez, MAM Al Janabi, S Hammoudeh, D Khuong Nguyen
Journal of Asset Management 16 (7), 467-483, 2015
Leveraging random forest in micro‐enterprises credit risk modelling for accuracy and interpretability
MS Uddin, G Chi, MAM Al Janabi, T Habib
International Journal of Finance & Economics 27 (3), 3713-3729, 2022
Measuring market and credit risk under Solvency II: Evaluation of the standard technique versus internal models for stock and bond markets
S Asadi, MAM Al Janabi
European Actuarial Journal 10 (2), 425-456, 2020
Foreign‐exchange trading risk management with value at risk: Case analysis of the Moroccan market
MAM Al Janabi
The Journal of Risk Finance 7 (3), 273-291, 2006
Commodity price risk management: Valuation of large trading portfolios under adverse and illiquid market settings
MAM Al Janabi
Journal of Derivatives & Hedge Funds 15, 15-50, 2009
Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints
MAM Al Janabi
Journal of Forecasting 40 (3), 387-415, 2021
Equity trading risk management: the case of Casablanca stock exchange
MAM Al Janabi
International Journal of Risk Assessment and Management 7 (4), 535-568, 2007
Modeling time-varying volatility and expected returns: Evidence from the GCC and MENA regions
MAM Al Janabi, A Hatemi-J, M Irandoust
Emerging Markets Finance and Trade 46 (5), 39-47, 2010
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