We develop a model for optimizing multiple‐asset portfolios with semi‐parametric liquidity‐adjusted value‐at‐risk (LVaR), whereby linear correlations are substituted by the multivariate nonlinear Kendall's tau dependence measure, under multiple credible operational and budget constraints. When considering a diversified large portfolio of international stock markets of both developed and emerging economies and commodities, under both regular and stressed market perspectives, the obtained results consistently confirm the dominance of our modeling algorithms relative to other competing portfolio strategies, including the traditional mean‐variance VaR approach and global minimum‐variance portfolios. The obtained results are robust to different trading scenarios and promising for practical optimization techniques in large multiple‐asset portfolios and operation research models in financial institution management.

中文翻译：

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最优总是最优吗？依赖和非正常流动性约束的非线性测度下均值方差法的回顾

我们开发了一种使用半参数流动性调整后的风险价值（LVaR）优化多资产投资组合的模型，其中在多个可靠的运营和预算约束下，线性相关被多元非线性Kendall的tau依赖度度量所替代。考虑到发达和新兴经济体以及商品的国际股票市场的多种多样的投资组合时，无论是常规市场还是压力市场，所获得的结果始终证实了我们的建模算法相对于其他竞争性投资组合策略（包括传统的均值-方差VaR方法和全局最小方差投资组合。