Showing 1 - 10 of 178
Hart proved the difficulty of deriving general comparative statics in portfolio weights. Instead, we derive new comparative statics for the distribution of payoffs: A is less risk averse than B iff A's payoff is always distributed as B's payoff plus a non-negative random variable plus...
Persistent link: https://www.econbiz.de/10013070473
Persistent link: https://www.econbiz.de/10009626728
Persistent link: https://www.econbiz.de/10009960286
Persistent link: https://www.econbiz.de/10011610683
Persistent link: https://www.econbiz.de/10003928127
Persistent link: https://www.econbiz.de/10011446196
Persistent link: https://www.econbiz.de/10011921402
Persistent link: https://www.econbiz.de/10011593178
Persistent link: https://www.econbiz.de/10011633493
We propose a tractable equilibrium model to examine how margin requirements affectasset prices, market volatility, and market participants' welfare. Weshow that margin requirements can have opposite effects on market volatility whenthey constrain different investors and thus can help explain why...
Persistent link: https://www.econbiz.de/10012975465