A proposal for impact-adjusted valuation: Critical leverage and execution risk
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling always initially causes the expected leverage to increase. There is a critical leverage above which i...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
2012
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