Dynamic asset allocation under VaR constraint with stochastic interest rates

Hainaut, Donatien
(2009) Annals of Operations Research — Vol. 172, n° 1, p. 97-117 (2009)

Files

document.pdf
  • Open Access
  • Adobe PDF
  • 588.23 KB
Download

Details

Authors
Abstract
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.
Affiliations
  • Rennes School of BusinessFinance

Citations

  • APA
  • Chicago
  • FWB

Hainaut, D. (2009). Dynamic asset allocation under VaR constraint with stochastic interest rates. Annals of Operations Research, 172(1), 97-117. https://doi.org/10.1007/s10479-008-0509-9 (Original work published 2009)