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The consequences of short-sale const...

Hunanyan, Gevorg.

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The consequences of short-sale constraints on the stability of financial markets

Record Type:	Electronic resources : Monograph/item
Title/Author:	The consequences of short-sale constraints on the stability of financial markets/ by Gevorg Hunanyan.
Author:	Hunanyan, Gevorg.
Published:	Wiesbaden :Springer Fachmedien Wiesbaden : : 2019.,
Description:	xv, 117 p. :ill., digital ;24 cm.
[NT 15003449]:	Portfolio Selection -- CAPM Equilibrium -- Dynamic Model -- Security Market Line.
Contained By:	Springer eBooks
Subject:	Short selling (Securities) -
Online resource:	https://doi.org/10.1007/978-3-658-27956-1
ISBN:	9783658279561

The consequences of short-sale constraints on the stability of financial markets
Hunanyan, Gevorg.

The consequences of short-sale constraints on the stability of financial markets[electronic resource] /by Gevorg Hunanyan. - Wiesbaden :Springer Fachmedien Wiesbaden :2019. - xv, 117 p. :ill., digital ;24 cm. - Finanzwirtschaft, banken und bankmanagement i finance, banks and bank management,2524-6429. - Finanzwirtschaft, banken und bankmanagement i finance, banks and bank management..

Portfolio Selection -- CAPM Equilibrium -- Dynamic Model -- Security Market Line.

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 Universitat Kaiserslautern at the Chair of Macroeconomics.

ISBN: 9783658279561

Standard No.: 10.1007/978-3-658-27956-1doiSubjects--Topical Terms:

2205873
Short selling (Securities)

LC Class. No.: HG6041 / .H863 2019

Dewey Class. No.: 332.632

The consequences of short-sale constraints on the stability of financial markets
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505 0 $a Portfolio Selection -- CAPM Equilibrium -- Dynamic Model -- Security Market Line.
520 $a 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 Universitat Kaiserslautern at the Chair of Macroeconomics.
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