Leveraged stock portfolios over long holding periods: A continuous-time model

Autor:	Dale L. Domian, Marie D. Racine, Craig Wilson
Rok vydání:	2006
Předmět:	Economics and Econometrics Leverage (finance) Concave function Financial economics Resampling Econometrics Economics National wealth Time model Wealth distribution Finance Stock (geology) Holding period
Zdroj:	Journal of Economics and Finance. 30:356-375
ISSN:	1938-9744 1055-0925
DOI:	10.1007/bf02752741
Popis:	We use a continuous-time model to derive return and wealth distributions for leveraged portfolios over long holding periods. These theoretical distributions closely match empirical distributions obtained from a resampling procedure. The expected annualized return is a concave function of the degree of leverage. With historical parameter values, the function is maximized at 203% stock, borrowing an amount equal to 103% of net wealth. This maximal stock proportion is considerably reduced if the borrowing rate is higher than the historical lending rate.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::0728262ba549e6a95aa35fec37554150 https://doi.org/10.1007/bf02752741 Zobrazit plný text záznamu Plný text ve formátu PDF