Diversification, Risk Aversion and Expectation in a Holdout Scenario

Wolfgang Eggert, Maximilian Stephan, Janine Temme and Handirk von Ungern-Sternberg

No 5527, CESifo Working Paper Series from CESifo

Abstract: We argue a holdout is not a destructive investor behaviour but a rational investment decision. This investment decision is characterised by the mean-variance approach. We investigate intercreditor conflict by diverse portfolio structure. We demonstrate that at some point during the Greek (2012) and Argentine (2005) debt restructuring programs it was reasonable for the investor to hold out. This model shows that the investment decision is based on the portfolio structure, risk aversion and expected payment of the debtor, so there is no free-rider behaviour. On the contrary, the investor harms herself when playing a destructive or uncooperative strategy.

Keywords: sovereign debt; holdout; mean-variance approach; collective action clause (search for similar items in EconPapers)
JEL-codes: G18 H50 H63 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp5527.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_5527

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().