摘要翻译:
在目前金融危机的环境下,许多ZF可能很快成为金融资产的主要持有者,但政策辩论只侧重于短期市场稳定的可能性和程度。本文认为,ZF的干预和扶持很可能导致长期的泡沫,甚至是疯狂的混乱行为。当承诺资本达到一个仅取决于两个参数的临界金额时,就会出现不连续性:交易的市场影响和目标敞口百分比。
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英文标题:
《The Hazards of Propping Up: Bubbles and Chaos》
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作者:
Philip Maymin
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最新提交年份:
2010
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Quantitative Finance 数量金融学
二级分类:Portfolio Management 项目组合管理
分类描述:Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要:
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper shows that government intervention and propping up are likely to lead to long-term bubbles and even wildly chaotic behavior. The discontinuities occur when the committed capital reaches a critical amount that depends on just two parameters: the market impact of trading and the target exposure percentage.
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PDF链接:
https://arxiv.org/pdf/1002.2282