VaR constrained asset pricing with relative performance

Xiangbo Liu, Zhigang Qiu () and Yan Xiong

Economics Letters, 2013, vol. 121, issue 2, 174-178

Abstract: This paper shows that when Value-at-Risk constrained institutional investors care about their relative standings among the peer group, more risk averse investors would take more risk, which improves the risk sharing and lowers the volatility.

Keywords: Relative performance; Financial institution; Asset pricing; Value-at-Risk (VaR) (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:174-178

DOI: 10.1016/j.econlet.2013.07.026

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