Search Results - subject:"portfolio leverage"

Mean-variance portfolio efficiency under leverage aversion and trading impact

Edirisinghe, Chanaka; Jeong, Jaehwan - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-16

portfolio leverage modifies the MV efficient frontier in the presence of trading impact, and highlight the significant …

Persistent link: https://www.econbiz.de/10013201401

Mean-variance portfolio efficiency under leverage aversion and trading impact

Edirisinghe, Chanaka; Jeong, Jaehwan - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-16

portfolio leverage modifies the MV efficient frontier in the presence of trading impact, and highlight the significant …

Persistent link: https://www.econbiz.de/10013161565

Unleveraged portfolios and pure allocation return

Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-11

In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational … the qualitative choice of portfolio allocation, from the return component due to the portfolio leverage. Theoretical …

Persistent link: https://www.econbiz.de/10013201233

Unleveraged portfolios and pure allocation return

Alemanni, Barbara; Maggi, Mario Alessandro; Uberti, … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-11

Persistent link: https://www.econbiz.de/10012795929

Optimal leveraged portfolio selection under quasi-elastic market impact

Edirisinghe, Chanaka; Chen, Jingnan; Jeong, Jaehwan - In: Operations research 71 (2023) 5, pp. 1558-1576

Persistent link: https://www.econbiz.de/10014393151

Does low leverage minimise the impact of financial shocks? : new optimisation strategies using Islamic stock screening for European portfolios

Alaoui, Abdelkader O. el; Obiyathulla Ismath Bacha; … - In: Journal of international financial markets, … 57 (2018), pp. 160-184

Persistent link: https://www.econbiz.de/10012127622

Optimal portfolio leverage

Van Rensburg, Paul - In: Journal of asset management 17 (2016) 1, pp. 22-33

Persistent link: https://www.econbiz.de/10011485126