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

页码：853 / 864

页数：12

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