Dynamic asset allocation under VaR constraint with stochastic interest rates

Donatien Hainaut ()

Annals of Operations Research, 2009, vol. 172, issue 1, 97-117

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. Copyright Springer Science+Business Media, LLC 2009

Keywords: Asset allocation; Value at risk; Bounded shortfall risk; Stochastic interest rates (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10479-008-0509-9

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