The limits of leverage
Author:
Affiliation:
1. Department of Mathematics and Statistics Boston University Boston MA USA
2. School of Mathematical Sciences Dublin City University Dublin Ireland
3. Department of Mathematics & Statistics University of Limerick Limerick Ireland
Funder
European Research Council
National Science Foundation
Science Foundation Ireland
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12172
Reference19 articles.
1. Leverage Aversion and Risk Parity
2. Handbook of Brownian Motion - Facts and Formulae
3. Capital Market Equilibrium with Transaction Costs
4. Dynamic Programming Conditions for Partially Observable Stochastic Systems
5. Portfolio Selection with Transaction Costs
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