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- W3123583750 abstract "The objectives of this paper are: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a volatility shock in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and investment restrictions; and (2) to analyze the sensitivity of the equilibrium price of an asset to shocks originating in other fundamentally unrelated asset markets for a given mix of common investors. The analysis confirms that certain combinations of investment restrictions (notably short-sale constraints and benchmark-based performance criteria) can create additional transmission mechanisms for propagating shocks across fundamentally unrelated asset markets. The paper also discusses potential implications of recent and on-going changes in the investor base for emerging market securities for the asset price volatility." @default.
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- W3123583750 date "2005-09-01" @default.
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- W3123583750 title "Investment Restrictions and Contagion in Emerging Markets" @default.
- W3123583750 doi "https://doi.org/10.5089/9781451862096.001.a001" @default.
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