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Leverage, liquidity, volatility, time horizon, and the risk of ruin: A barrier option approach.

Authors :
Norland, Erik
Wilford, D. Sykes
Source :
Review of Financial Economics; Fall2002, Vol. 11 Issue 3, p225, 15p, 5 Graphs
Publication Year :
2002

Abstract

Examines a barrier option theoretic approach to analyzing the potential for losses of a leveraged investor. Risk of a particular style of investment when dealing with hedge funds; Impact of the leverage on the probability of encountering a loss; Simulation of the risk of ruin for an investment fund.

Subjects

Subjects :
CAPITAL losses
RATE of return
INVESTMENTS
HEDGE funds

Details

Language :
English
ISSN :
10583300
Volume :
11
Issue :
3
Database :
Complementary Index
Journal :
Review of Financial Economics
Publication Type :
Academic Journal
Accession number :
7785231
Full Text :
https://doi.org/10.1016/S1058-3300(02)00046-0
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