Leverage Management
- 20 October 2008
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
An asset manager trades off the benefits of higher leverage against the costs of adjusting leverage in order to mitigate expected insolvency losses. We explicitly calculate optimal dynamic incentive-compatible leverage policies in simple versions of this problem.Keywords
This publication has 7 references indexed in Scilit:
- The Impact of Leverage on Hedge Fund Risk and ReturnThe Journal of Alternative Investments, 2005
- An econometric model of serial correlation and illiquidity in hedge fund returnsJournal of Financial Economics, 2004
- Optimal Portfolio Selection with Transaction Costs and Finite HorizonsThe Review of Financial Studies, 2002
- Hedge Fund Leverage Before and after the CrisisThe Journal of Economic Integration, 2002
- Portfolio Selection with Transaction CostsMathematics of Operations Research, 1990
- Capital Market Equilibrium with Transaction CostsJournal of Political Economy, 1986
- Multiperiod Consumption and Investment Behavior with Convex Transactions CostsManagement Science, 1979