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卖空约束对金融市场稳定的影响-The Consequences of Short-Sale Constraints on the Stability of Financial Markets

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上传于 2020-03-06 37次下载 2393次围观
文件编号:11415
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标题(title):The Consequences of Short-Sale Constraints on the Stability of Financial Markets
卖空约束对金融市场稳定的影响
作者(author):Gevorg Hunanyan
出版社(publisher):Springer Fachmedien Wiesbaden;Springer Gabler
大小(size):2 MB (1832695 bytes)
格式(extension):pdf
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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.

Table of contents :
Front Matter ....Pages i-xv
Introduction (Gevorg Hunanyan)....Pages 1-7
Portfolio Selection (Gevorg Hunanyan)....Pages 9-32
CAPM Equilibrium (Gevorg Hunanyan)....Pages 33-44
Dynamic Model (Gevorg Hunanyan)....Pages 45-60
Security Market Line (Gevorg Hunanyan)....Pages 61-78
Conclusion (Gevorg Hunanyan)....Pages 79-80
Back Matter ....Pages 81-117
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