Leverage Causes Fat Tails and Clustered Volatility
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing", i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset...
| Main Authors: | , , |
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| Format: | Book |
| Published: |
2009
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