Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates
20 Pages Posted: 14 Sep 2013 Last revised: 22 Oct 2013
Date Written: December 6, 2008
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.
Keywords: asset allocation, value at risk, bounded shortfall risk, stochastic interest rates
JEL Classification: G11
Suggested Citation: Suggested Citation
Hainaut, Donatien, Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates (December 6, 2008). Annals of Operation Research, Vol. 172, No. 1, 2009, Available at SSRN: https://ssrn.com/abstract=2324172 or http://dx.doi.org/10.2139/ssrn.2324172
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.