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

Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Annals of Operation Research, Vol. 172, No. 1, 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 6, 2008 erstellt
Other identifiers:	10.2139/ssrn.2324172 [DOI]
Classification:	G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013076323