Market Efficient Portfolios in a Systemic Economy

References

• Acemoglu D, Ozdaglar A, Tahbaz-Salehi A (2015) Systemic risk and stability in financial networks. Amer. Econom. Rev. 105(2):564–608.Crossref, Google Scholar
• Adrian T, Shin HS (2010) Liquidity and leverage. J. Finance Intermed. 19(3):418–437.Crossref, Google Scholar
• Adrian T, Shin HS (2014) Procyclical leverage and value-at-risk. Rev. Finance Stud. 27(2):373–403.Crossref, Google Scholar
• Amini H, Filipović D, Minca A (2013) Systemic risk with central counterparty clearing. Swiss Finance Institute Research Paper No. 13-34, Swiss Finance Institute.Google Scholar
• Awiszus K Actuarial and Financial Risk Management in Networks (2020) Dissertation, Gottfried Wilhelm Leibniz Universität Hannover, Hannover, Germany.Google Scholar
• Beale N, Rand DG, Battey H, Croxson K, May RM, Nowak MA (2011) Individual vs. systemic risk and the regulator’s dilemma. Proc. Natl. Acad. Sci. USA 108(31):12647–12652.Crossref, Google Scholar
• Biagini F, Fouque J-P, Frittelli M, Meyer-Brandis T (2019) A unified approach to systemic risk measures via acceptance sets. Math. Finance 29(1):329–367.Crossref, Google Scholar
• Brunnermeier M, Pedersen L (2008) Market liquidity and funding liquidity. Rev. Finance Stud. 22(6):2201–2238.Crossref, Google Scholar
• Brunnermeier M, Sockin M, Xiong W (2018) China’s model of managing its financial system. Working paper, Princeton University, Princeton, NJ.Google Scholar
• Caccioli F, Shrestha M, Moore C, Farmer JD (2014) Stability analysis of financial contagion due to overlapping portfolios. J. Banking Finance 46:233–245.Crossref, Google Scholar
• Capponi A, Larsson M (2015) Price contagion through balance sheet linkages. Rev. Asset Pricing Stud. 5(2):227–253.Crossref, Google Scholar
• Capponi A, Chen PC, Yao D (2016) Liability concentration and systemic losses in financial networks. Oper. Res. 64(5):1121–1134.Link, Google Scholar
• Chen Q, Goldstein I, Jiang W (2010) Payoff complementarities and financial fragility: Evidence from mutual fund outflows. J. Finance Econom. 97(2):239–262.Crossref, Google Scholar
• Chen C, Iyengar G, Moallemi CC (2013) An axiomatic approach to systemic risk. Management Sci. 59(6):1373–1388.Link, Google Scholar
• Chen N, Liu X, Yao DD (2016) An optimization view of financial systemic risk modeling: Network effect and market liquidity effect. Oper. Res. 64(5):1089–1108.Link, Google Scholar
• Cifuentes R, Ferrucci G, Shin HS (2005) Liquidity risk and contagion. J. Eur. Econom. Assoc. 3(2-3):556–566.Crossref, Google Scholar
• Cont R, Schaaning E (2017) Fire sales, indirect contagion and systemic stress testing. Working paper 02/2017, Norges Bank, Oslo, Norway.Google Scholar
• Coval J, Stafford E (2007) Asset fire sales (and purchases) in equity markets. J. Finance Econom. 86(2):479–512.Crossref, Google Scholar
• Detering N, Meyer-Brandis T, Panagiotou K, Ritte D (2020) Suffocating fire sales. SIAM J. Financial Math. Preprint available at, https://arxiv.org/pdf/2006.08110.pdf.Google Scholar
• Dow J, Gorton G (1997) Stock market efficiency and economic efficiency: Is there a connection? J. Finance 52(3):1087–1129.Crossref, Google Scholar
• Dow J, Rahi R (2003) Informed trading, investment, and welfare. J. Bus. 76(3):439–454.Crossref, Google Scholar
• Duarte F, Eisenbach TM (2021) Fire-sale spillovers and systemic risk. J. Finance 76(3):1251–1294.Crossref, Google Scholar
• Eisenberg L, Noe TH (2001) Systemic risk in financial systems. Management Sci. 47(7):236–249.Link, Google Scholar
• Elliott M, Golub B, Jackson MO (2014) Financial networks and contagion. Amer. Econom. Rev. 104(10):3115–3153.Crossref, Google Scholar
• Feinstein Z, Rudloff B, Weber S (2017) Measures of systemic risk. SIAM J. Financial Math. 8(1):672–708.Crossref, Google Scholar
• Froot KA, Scharfstein DS, Stein J (1993) Risk management: Coordinating corporate investment and financing policies. J. Finance 48(5):1629–1658.Crossref, Google Scholar
• Gai P, Kapadia S (2010) Contagion in financial networks. Proc. Roy. Soc. London Ser. A 466:2401–2423.Crossref, Google Scholar
• Girardi G, Kathleen W, Stanislava N, Pelizzon L, Getmansky M (2021) Portfolio similarity and asset liquidation in the insurance industry. J. Finance Econom. 142(1):69–96.Crossref, Google Scholar
• Glasserman P, Young HP (2015) How likely is contagion in financial networks? J. Banking Finance 50:383–399.Crossref, Google Scholar
• Goldstein I, Guembel A (2008) Manipulation and the allocational role of prices. Rev. Econom. Stud. 75(1):133–164.Crossref, Google Scholar
• Greenlaw D, Hatzius J, Kashyap A, Shin HS (2008) Leveraged losses: Lessons from the mortgage market meltdown. Proc. U.S. Monetary Policy Forum.Google Scholar
• Greenwood R, Landier A, Thesmar D (2015) Vulnerable banks. J. Finance Econom. 115(3):471–485.Crossref, Google Scholar
• Hayek FA (1945) The use of knowledge in society. Amer. Econom. Rev. 35(4):519–530.Google Scholar
• Ibragimov R, Jaffee D, Walden J (2011) Diversification disasters. J. Finance Econom. 99(2):333–348.Crossref, Google Scholar
• Khandani AE, Lo AW (2011) What happened to the quants in august 2007? Evidence from factors and transactions data. J. Finance Marketing 14(1):1–46.Crossref, Google Scholar
• Leland HE (1992) Insider trading: Should it be prohibited? J. Political Econom. 100(4):859–887.Crossref, Google Scholar
• Miao J, Wang P (2018) Asset bubbles and credit constraints. Amer. Econom. Rev. 108(9):2590–2628.Crossref, Google Scholar
• Nutz M, Scheinkman J (2020) Shorting in speculative markets. J. Finance 75(2):995–1036.Crossref, Google Scholar
• Pirrong C (2011) The Economics of Central Clearing: Theory and Practice. International Swaps and Derivatives Association Discussion Papers Series, University of Houston, Houston.Google Scholar
• Raffestin L (2014) Diversification and systemic risk. J. Bank Finance 46:85–106.Crossref, Google Scholar
• Rogers LCG, Veraart LAM (2013) Failure and rescue in an interbank network. Management Sci. 59(4):882–898.Link, Google Scholar
• Shleifer A, Vishny R (1992) Liquidation values and debt capacity: A market equilibrium approach. J. Finance 47(4):1343–1366.Crossref, Google Scholar
• Subrahmanyam A, Titman S (2001) Feedback from stock prices to cash flows. J. Finance 56(6):2389–2413.Crossref, Google Scholar
• Wagner W (2011) Systemic liquidation risk and the diversity–diversification trade-off. J. Finance 66(4):1141–1175.Crossref, Google Scholar
• Weber S, Weske K (2017) The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks. Probab. Uncertainty Quant. Risk 2(9):1–38.Google Scholar