The consequences of short-sale constraints on the stability of financial markets / Gevorg Hunanyan ; with a foreword by Axel Wieandt and Sebastian Moenninghoff.

Format:

Book

Author/Creator:

Hunanyan, Gevorg, author.

Series:

Finance, banks and bank management 2524-6429

Finanzwirtschaft, Banken und Bankmanagement, 2524-6429

Language:

English

Subjects (All):

Short selling (Securities).

Physical Description:

xii, 117 pages : illustrations ; 24 cm.

Place of Publication:

Wiesbaden, Germany : Springer Gabler, [2019]

Summary:

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 and students 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.-- Provided by publisher.

Contents:

Portfolio Selection

CAPM Equilibrium

Dynamic Model

Security Market Line.

Notes:

Includes bibliographical references.

ISBN:

3658279559

9783658279554

OCLC:

1117643558