Market Efficient Portfolios in a Systemic Economy

DOI10.1287/opre.2021.2172zbMath1493.91109arXiv2003.10121OpenAlexW4205292832MaRDI QIDQ5080636

Agostino Capponi, Stefan Weber, Kerstin Awiszus

Publication date: 31 May 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.10121

zbMATH Keywords

financial engineeringmarket efficiencyprice pressureleverage targetingsystemic economysystemic significance

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites Work

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• A unified approach to systemic risk measures via acceptance sets