Leverage effect breakdowns and flight from risky assets

DOI10.1080/14697688.2012.691983zbMath1398.91540OpenAlexW2160573341MaRDI QIDQ4683103

Stephen Matteo Miller

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.691983

zbMATH Keywords

financial crisesasset allocationleverage effectsimplied volatilitiesintertemporal portfolio choice

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• Optimal portfolios for DC pension plans under a CEV model
• An Intertemporal General Equilibrium Model of Asset Prices
• Significance of log-periodic precursors to financial crashes
• The perception of time, risk and return during periods of speculation

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