The Consequences of Short-Sale Constraints on the Stability of Financial Markets / Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management (PDF)
(Sprache: Englisch)
Gevorg Hunanyan develops a model that provides a comprehensive theoretical framework to study the consequences of short-sale constraints on the stability of financial markets. This model shows that overpricing of securities is solely attributable to the...
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Gevorg Hunanyan develops a model that provides a comprehensive theoretical framework to study the consequences of short-sale constraints on the stability of financial markets. This model shows that overpricing of securities is solely attributable to the subjective second moment beliefs of investors. Thus, short-sale constraints prevent a market decline only if investors have low dispersion of beliefs, which in the model is embodied in the covariance matrix. Moreover, the author analyses the consequences of short-sale constraints on the investor's portfolio selection, risk-taking behaviour as well as default probability. The author develops criteria that allow to analyse the effectiveness of short-sale constraints in reducing portfolio risk as well as default risk.
Contents
- Portfolio Selection
- CAPM Equilibrium
- Dynamic Model
- Security Market Line
Target Groups
- Researchers andstudents in the fields of financial engineering, mathematics, microeconomics, macroeconomics and business sciences
- Practitioners in the fields of banking, insurance, (political) consulting
The Author
Gevorg Hunanyan completed his doctoral dissertation under the supervision of Prof. Dr. Jan Wenzelburger at the Technische Universität Kaiserslautern at the Chair of Macroeconomics.
Autoren-Porträt von Gevorg Hunanyan
Gevorg Hunanyan completed his doctoral dissertation under the supervision of Prof. Dr. Jan Wenzelburger at the Technische Universität Kaiserslautern at the Chair of Macroeconomics.
Bibliographische Angaben
- Autor: Gevorg Hunanyan
- 2019, 1st ed. 2019, 117 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3658279567
- ISBN-13: 9783658279561
- Erscheinungsdatum: 05.10.2019
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: PDF
- Größe: 1.75 MB
- Ohne Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
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