Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: Decisions in Economics and Finance 36 (2013) 1, pp. 47-70
In the present paper, we assume an economy with regime switching short rates and show how the Value at Risk of a financial position on zero-coupon bonds, hedged by buying protective put options under budget constraints, can be minimized by selecting optimal (regime-dependent) strike prices....