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  • Search: subject:"Mean Variance Leverage Optimization"
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Efficient Frontier 1 Efficient Surface 1 Leverage Aversion 1 Leverage Constraint 1 Leverage Tolerance 1 Mean Variance Leverage Optimization 1 Mean Variance Leverage Utility 1 Modern Portfolio Theory 1 Portfolio Choice 1 Risk Aversion 1 Risk Management 1 Systemic Risk 1 Volatility Aversion 1 Volatility Tolerance 1
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Article 1
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Undetermined 1
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Jacobs, Bruce 1 Levy, Kenneth 1
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Journal of Financial Perspectives 1
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RePEc 1
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The unique risks of portfolio leverage: why modern portfolio theory fails and how to fix it
Jacobs, Bruce; Levy, Kenneth - In: Journal of Financial Perspectives 2 (2014) 3, pp. 113-126
Leverage entails a unique set of risks, such as margin calls, which can force investors to liquidate securities at adverse prices. Modern Portfolio Theory (MPT) fails to account for these unique risks. Investors often use portfolio optimization with a leverage constraint to mitigate the risks of...
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