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risk aversion sign in to follow this
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Portfolio Choices and VaR Constraint with a Defaultable Asset
Year Of Publication: 2011
Month Of Publication: January
Pages: 27
Download Count: 3
View Count: 910
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 4-9-2014
Publisher: Administrator
Summary
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.
This document is published in Quantitative Finance (April 2014) http://dx.doi.org/10.1080/14697688.2013.871643
Author(s)
Barucci, Emilio Sign in to follow this author
Cosso, Andrea Sign in to follow this author
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