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Difference in interim performance and risk taking with short-sale constraints

Başak, Suleyman; Makarov, Dmitry - In: Journal of financial economics 103 (2012) 2, pp. 377-392

Persistent link: https://www.econbiz.de/10009501365

Short-sales constraints and the diversification puzzle

Reed, Adam V.; Saffi, Pedro A. C.; Van Wesep, Edward D. - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1159-1182

Persistent link: https://www.econbiz.de/10012505399

Dynamic rebalancing portfolio models with analyses of investor sentiment

Yu, Jing-Rung; Chiou, W. Paul; Hung, Cing-Hung; Dong, … - In: International review of economics & finance : IREF 77 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013288009

Implementing mean-variance spanning tests with short-sales constraints

AitSahlia, Farid; Doellman, Thomas; Sardarli, Sabuhi - In: The journal of investment strategies 12 (2023) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10014484630

Margin requirements and evolutionary asset pricing

Sokko, Anastasiia; Schenk-Hoppé, Klaus Reiner - 2017

We introduce an evolutionary equilibrium asset pricing model with heterogeneous agents who can either act as brokers or hedge funds. Hedge funds can trade on margin, taking short or (leveraged) long positions in the assets. Brokers provide asset loans and credit to margin traders. In any...

Persistent link: https://www.econbiz.de/10011762225