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adverse shock asset returns assumption Benchmark Rule Asset Borrow/lend 0.0 borrowing/lending capital event occurs common fundamentals conditional distribution consequences correlation 0.25 correlation between asset covariance between asset deleveraging discussed distribution of asset elementary portfolio theory equity capital equity markets event asset Event Cap Event Total Effect financial contagion Financial Markets 1999 fully-reinvested implies income effect increases informed investors International Monetary Fund leverage ratio leveraged portfolio long positions loss Loss-Constraint Rule Asset magnitude maintenance margin requirements margin call margined position market imperfections modest leverage non-event asset opportunity set optimal portfolio rebalancing optimal position optimal scale paper percent portfolio is leveraged portfolio management rules position in asset position in risky prior to rebalancing Proof of Proposition reduction in capital result Return Benchmark Rule return-benchmark and tradeoff riskless asset risky asset positions rules considered scale of investment Sharpe ratios short position Tradeoff Rule Asset type of shock unleveraged Value at Risk volatility event