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Subject
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Leverage constraint 6 Portfolio selection 6 Portfolio-Management 6 Theorie 5 Theory 5 leverage constraint 4 CBDC 3 Capital structure 3 Estimation 3 Kapitalstruktur 3 Mathematical programming 3 Mathematische Optimierung 3 Portfolio choice 3 Schätzung 3 Welt 3 World 3 asymmetric information 3 banking 3 loanable funds 3 monetary system 3 money creation 3 1964-2013 2 Asymmetric information 2 Asymmetrische Information 2 Bank 2 Characteristics-based investing 2 DCC 2 Geldschöpfung 2 Large portfolios 2 Markowitz mean-variance efficiency 2 Money creation 2 Nonlinear shrinkage 2 Risiko 2 Risk 2 Risk reduction 2 capitalrequirements 2 moral hazard 2 Altersvorsorge 1 Basel Accord 1 Basler Akkord 1
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Online availability
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Free 5 Undetermined 4
Type of publication
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Book / Working Paper 6 Article 5
Type of publication (narrower categories)
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Working Paper 6 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article in journal 3 Aufsatz in Zeitschrift 3 Aufsatz im Buch 1 Book section 1
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Language
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English 10 Undetermined 1
Author
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Ammann, Manuel 3 Coqueret, Guillaume 3 Gersbach, Hans 3 Schade, Jan-Philip 3 Zelzner, Sebastian 3 Jiang, Hui 2 Ledoit, Olivier 2 Zhao, Zhao 2 Ding, Shanshan 1 Jacobs, Bruce 1 Levy, Kenneth 1 Tian, Weidong 1 Xin, Leon 1 Zhu, Zimu 1
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Published in...
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Annals of finance 1 CFS Working Paper Series 1 CFS working paper series 1 Discussion papers / CEPR 1 Essays on factor investing and social trading 1 Journal of Financial Perspectives 1 Journal of banking & finance 1 The journal of asset management : a major new, international quarterly journal for the financial community 1 Working Paper 1 Working paper series / University of Zurich, Department of Economics 1 Working papers on finance 1
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Source
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ECONIS (ZBW) 8 EconStor 2 RePEc 1
Showing 11 - 11 of 11
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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
optimization with a leverage constraint to mitigate the risks of leverage, but MPT provides no guidance as to where to set the … leverage constraint. Fortunately, MPT can be fixed by explicitly incorporating a term for investor leverage aversion, as well …
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