Portfolio choices and VaR constraint with a defaultable asset

被引：2
|
作者：
Barucci, Emilio [1 ]
Cosso, Andrea [1 ]
机构：
[1] Politecn Milan, Dept Math, I-20133 Milan, Italy
来源：
QUANTITATIVE FINANCE | 2015年 / 15卷 / 05期
关键词：
CEV; Regulation; VaR; Optimal portfolio; G21; G11; G28; RISK REGULATION; MOMENTUM; POLICIES; IMPACT;
D O I：
10.1080/14697688.2013.871643
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We consider a Constant Elasticity of Variance (CEV) model for the asset price of a defaultable asset showing the so-called leverage effect (high volatility when the asset price is low). We show that a VaR constraint re-evaluated over time induces an agent more risk averse than a logarithmic utility to take more risk than in the unconstrained setting.
引用
收藏
页码：853 / 864
页数：12
相关论文
共 50 条
  • [1] Credit portfolio optimization with replacement in defaultable asset
    Kumar, K. Suresh
    Pal, Chandan
    CURRENT SCIENCE, 2012, 103 (06): : 650 - 656
  • [2] Reaching nirvana with a defaultable asset?
    Battauz A.
    De Donno M.
    Sbuelz A.
    Decisions in Economics and Finance, 2017, 40 (1-2) : 31 - 52
  • [3] Optimal Portfolio with a Defaultable Bond
    Bian Shibo
    Zhang Xiaoyang
    ECONOMIC OPERATION RISK MANAGEMENT, 2010, : 8 - 15
  • [4] Portfolio optimization with a defaultable security
    Bielecki, Tomasz
    Jang, Inwon
    ASIA-PACIFIC FINANCIAL MARKETS, 2006, 13 (02) : 113 - 127
  • [5] Optimal Asset Allocation with Extreme Returns and a VaR Constraint
    Yen, Simon H.
    Lee, Mei-Hsing
    NTU MANAGEMENT REVIEW, 2007, 17 (02): : 41 - 68
  • [6] Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion
    Gollier, Christian
    REVIEW OF ECONOMIC STUDIES, 2011, 78 (04): : 1329 - 1344
  • [7] Investors and markets: Portfolio choices, asset prices, and investment advice
    Muermann, Alex
    JOURNAL OF PENSION ECONOMICS & FINANCE, 2008, 7 (02): : 255 - 255
  • [8] Investors and markets: Portfolio choices, asset prices, and investment advice
    Yang, Halla
    JOURNAL OF ECONOMIC LITERATURE, 2008, 46 (01) : 170 - 172
  • [9] Does community resilience affect household asset portfolio choices?
    Zheng, Yi
    FINANCIAL REVIEW, 2024, 59 (04) : 845 - 873
  • [10] Fuzzy probability distribution with VaR constraint for portfolio selection
    Rocha, M.
    Lima, L.
    Santos, H.
    Bedregal, B.
    PROCEEDINGS OF THE 2015 CONFERENCE OF THE INTERNATIONAL FUZZY SYSTEMS ASSOCIATION AND THE EUROPEAN SOCIETY FOR FUZZY LOGIC AND TECHNOLOGY, 2015, 89 : 1479 - 1485
12345