Search Results - subject:"leverage constraints" - EconBiz

Margin call risk and leverage constraints : exploring investment horizons and low-risk anomalies in futures markets

Jo, Yonghwan; Jung, Dain - In: Journal of derivatives and quantitative studies : … 33 (2025) 1, pp. 2-22

Purpose - In futures markets, margin trading not only relaxes leverage constraints but also entails the risk of margin … leverage constraints in futures markets. This study aims to address this gap by focusing on margin call risk. Through bootstrap … investors with sufficiently short holding periods are less likely to face leverage constraints in futures markets, especially …

Persistent link: https://www.econbiz.de/10015397304

The collateral premium and levered safe-asset production

Ross, Chase P. - 2022

Persistent link: https://www.econbiz.de/10013413312

Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019

Two basic solutions have been proposed to fix the well-documented incompatibility of the sample covariance matrix with Markowitz mean-variance portfolio optimization: first, restrict leverage so much that no short sales are allowed; or, second, linearly shrink the sample covariance matrix towards...

Persistent link: https://www.econbiz.de/10012040364

Risk reduction and efficiency increase in large portfolios : leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019

Two basic solutions have been proposed to fix the well-documented incompatibility of the sample covariance matrix with Markowitz mean-variance portfolio optimization: first, restrict leverage so much that no short sales are allowed; or, second, linearly shrink the sample covariance matrix towards...

Persistent link: https://www.econbiz.de/10012030060

The beta anomaly in the REIT market

Shen, Jianfu; Hui, Eddie Chi Man; Fan, Kwokyuen - In: The journal of real estate finance and economics 63 (2021) 3, pp. 414-436

Persistent link: https://www.econbiz.de/10012617500

Large cryptocurrency-portfolios : efficient sorting with leverage constraints

Yang, Yang; Zhao, Zhao - In: Applied economics 53 (2021) 21, pp. 2398-2411

Persistent link: https://www.econbiz.de/10012501245

Credit spreads, financial crises, and macroprudential policy

Akinci, Ozge; Queralto, Albert - 2017 - Revised April 2017

deep recessions. We develop a macroeconomic model with a banking sector in which banks’ leverage constraints are …

Persistent link: https://www.econbiz.de/10011568525

Credit spreads, financial crises, and macroprudential policy

Akinci, Ozge; Queralto, Albert - 2016

macroeconomic model with a banking sector in which banks' leverage constraints are occasionally binding and equity issuance is …

Persistent link: https://www.econbiz.de/10011796445

Betting against correlation : testing theories of the low-risk effect

Asness, Cliff; Frazzini, Andrea; Gormsen, Niels; … - In: Journal of financial economics 135 (2020) 3, pp. 629-652

Persistent link: https://www.econbiz.de/10012543201

Can Leverage Constraints Help Investors?

Heimer, Rawley Z. - Federal Reserve Bank of Cleveland - 2014

This paper provides causal evidence that leverage constraints can reduce the underperformance of individual investors …

Persistent link: https://www.econbiz.de/10011114899

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