Dynamic asset allocation under VaR constraint with stochastic interest rates
نویسنده
چکیده
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. JEL classification : G11
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ورودعنوان ژورنال:
- Annals OR
دوره 172 شماره
صفحات -
تاریخ انتشار 2009