What happens if m * (Portfolio value - Floor) > Portfolio value ? Do we borrow at RFR to invest in stocks ?
Thanks,
Bern作者: skycfa 时间: 2011-7-13 13:03
never saw it referred this way but I would guess yes.作者: bpdulog 时间: 2011-7-13 13:03
it could happen- your cushion imagine the M at 125 or 130%. that is a great question. doubt we'd ever see that scenario on the test, but yeah, wonder if you'd just fully invest the portfolio or actually go so far as to lever up.作者: ohai 时间: 2011-7-13 13:03
The maximum you can reach is m*(Portfolio value - floor) = Portfolio value.
At that point all your portfolio is invested in stocks.
