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Systemic risk propagated through over-the-counter derivatives can best be managed by a public-private central … provide an effective policy instrument for controlling systemic risk. Moreover this structure, in contrast to current proposed …
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societal welfare, the optimal allocation of such support is fundamentally a problem of ex-ante portfolio analysis under risk …
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This paper presents a mean-variance model of portfolio choice and asset pricing when the price of consumption goods as well as the return to assets is uncertain. The correlation of an assets return with purchases at expected prices is shown to reduce both the mean return and the variance of the...
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