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Dynamic asset allocation under VaR constraint with stochastic interest rates

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Hainaut, Donatien [UCL]

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.

Document type Article de périodique (Journal article)
Access type Accès libre
Publication date 2009
Language Anglais
Journal information "Annals of Operations Research" - Vol. 172, no.1, p. 97-117 (2009)
Peer reviewed yes
Publisher Springer New York LLC (New York)
issn 0254-5330
e-issn 1572-9338
Publication status Publié
Affiliation Rennes School of Business - Finance
Links
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Bibliographic reference Hainaut, Donatien. Dynamic asset allocation under VaR constraint with stochastic interest rates. In: Annals of Operations Research, Vol. 172, no.1, p. 97-117 (2009)
Permanent URL http://hdl.handle.net/2078/185397