Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates

This paper addresses the problem of dynamic asset allocation under a bounded shortfall risk in a market composed of three assets: cash, stocks and a zero coupon bond. The dynamics of the instantaneous short rates is driven by a Hull and White model. In this setting, we determine and compare optimal investment strategies maximizing the CRRA utility of terminal wealth with and without value at risk constraint

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Year of publication:	2013
Authors:	Hainaut, Donatien
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Risikomaß \| Risk measure \| Zins \| Interest rate \| Hedging \| Stochastischer Prozess \| Stochastic process \| VAR-Modell \| VAR model

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