The unique risks of portfolio leverage: why modern portfolio theory fails and how to fix it
Year of publication: |
2014
|
---|---|
Authors: | Jacobs, Bruce ; Levy, Kenneth |
Published in: |
Journal of Financial Perspectives. - EY Global FS Institute. - Vol. 2.2014, 3, p. 113-126
|
Publisher: |
EY Global FS Institute |
Subject: | Risk Management | Modern Portfolio Theory | Portfolio Choice | Mean Variance Leverage Utility | Mean Variance Leverage Optimization | Leverage Constraint | Risk Aversion | Volatility Aversion | Leverage Aversion | Volatility Tolerance | Leverage Tolerance | Efficient Frontier | Efficient Surface | Systemic Risk |
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