This paper develops a theoretical framework in which asset linkages in a syndicated loan agreement can infect a healthy bank when its partner bank fails. We investigate how capital constraints affect the choice of the healthy bank to takeover or liquidate the exposure held jointly with the...

In multivariate analysis, the covariance matrix associated with a set of variables of interest (namely response variables) commonly contains valuable information about the dataset. When the dimension of response variables is considerably larger than the sample size, it is a non-trivial task to...

The problem of maximizing the expected utility from terminal wealth in the presence of a stochastic endowment and constraints on the portfolio choices is examined. We model short-sale and borrowing constraints, as well as incomplete markets, as special cases of constraints. The existence of...