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  • Search: subject:"mean-variance-leverage optimization"
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Subject
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Efficiency 1 Efficient Frontier 1 Efficient Surface 1 Efficient market hypothesis 1 Effizienz 1 Effizienzmarkthypothese 1 Leverage Aversion 1 Leverage Constraint 1 Leverage Tolerance 1 Mathematical programming 1 Mathematische Optimierung 1 Mean Variance Leverage Optimization 1 Mean Variance Leverage Utility 1 Modern Portfolio Theory 1 Portfolio Choice 1 Portfolio selection 1 Portfolio theory 1 Portfolio-Management 1 Risk Aversion 1 Risk Management 1 Systemic Risk 1 Theorie 1 Theory 1 Volatility Aversion 1 Volatility Tolerance 1 efficient region 1 efficient surface 1 long-short optimization 1 market simulation 1 mean-variance-leverage optimization 1 portfolio efficiency 1 portfolio insurance 1 portfolio leverage 1
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Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Jacobs, Bruce 1 Jacobs, Bruce I. 1 Levy, Kenneth 1
Published in...
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Journal of Financial Perspectives 1 Journal of investment management : JOIM 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Collaborating with Harry Markowitz : a remembrance
Jacobs, Bruce I. - In: Journal of investment management : JOIM 23 (2025) 2, pp. 61-70
Persistent link: https://www.econbiz.de/10015651797
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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...
Persistent link: https://www.econbiz.de/10011124236
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