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  • Search: subject:"leverage constraint"
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Year of publication
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 1 - 10 of 11
Cover Image
Why bank money creation?
Gersbach, Hans; Zelzner, Sebastian - 2022
. With a suitable regulatory leverage constraint, the gains from higher lending by banks with a high repayment pledgeability …
Persistent link: https://www.econbiz.de/10013191634
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Why bank money creation?
Gersbach, Hans; Zelzner, Sebastian - 2022 - This version: April 20, 2022
. With a suitable regulatory leverage constraint, the gains from higher lending by banks with a high repayment pledgeability …
Persistent link: https://www.econbiz.de/10013187924
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Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage
Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2020
find that a judiciously-chosen shrinkage method always outperforms an arbitrarily-determined leverage constraint. By … of leverage is allowed, whereas tightening the leverage constraint often hurts a DCC-NL portfolio. …
Persistent link: https://www.econbiz.de/10012155364
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Risk reduction and efficiency increase in large portfolios : leverage and shrinkage
Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2020 - Revised version
find that a judiciously-chosen shrinkage method always outperforms an arbitrarily-determined leverage constraint. By … of leverage is allowed, whereas tightening the leverage constraint often hurts a DCC-NL portfolio. …
Persistent link: https://www.econbiz.de/10012154193
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A portfolio choice problem under risk capacity constraint
Tian, Weidong; Zhu, Zimu - In: Annals of finance 18 (2022) 3, pp. 285-326
Persistent link: https://www.econbiz.de/10013440634
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Why bank money creation?
Gersbach, Hans; Zelzner, Sebastian - 2022
Persistent link: https://www.econbiz.de/10013466607
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Expected returns with leverage constraints and target returns
Xin, Leon; Ding, Shanshan - In: The journal of asset management : a major new, … 22 (2021) 3, pp. 200-208
Persistent link: https://www.econbiz.de/10012581588
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Cover Image
Characteristics-based portfolio choice with leverage constraints
Ammann, Manuel; Coqueret, Guillaume; Schade, Jan-Philip - 2016
Persistent link: https://www.econbiz.de/10011686455
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Characteristics-based portfolio choice with leverage constraints
Ammann, Manuel; Coqueret, Guillaume; Schade, Jan-Philip - In: Essays on factor investing and social trading, (pp. 2-47). 2017
Die vorliegende Arbeit hat zwei wesentliche Ziele. Auf der einen Seite soll sie existierende Konzepte zum systematischen Faktorinvestieren erweitern, mögliche Problemstellungen aufdecken und Verbesserungen vorschlagen. Zweitens, untersucht diese Arbeit eine neue Form von FinTech Innovationen:...
Persistent link: https://www.econbiz.de/10011775041
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Characteristics-based portfolio choice with leverage constraints
Ammann, Manuel; Coqueret, Guillaume; Schade, Jan-Philip - In: Journal of banking & finance 70 (2016), pp. 23-37
Persistent link: https://www.econbiz.de/10011635115
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