Before revision:  This paper proposes two computational efficient allocation methods under the FRTB framework. Simulation analysis shows that both these two methods provide more liquidity horizon weighted, more stable , and less negative allocations than the standard methods under the current regulatory framework.
After revision:  This paper proposes two computational efficient allocation methods which are weighted according to liquidity horizon. Both methods provide more liquidity horizon weighted, more stable , and less negative allocations than the standard methods under the current regulatory framework.