Codice  QDD 91 
Titolo  Portfolio choices and VaR constraint with a defaultable asset 
Data  20110325 
Autore/i  Barucci, E.; Cosso, A. 
Link  Download full text 
Abstract  Assuming a Constant Elasticity of Variance (CEV) model for the asset price, that is a defaultable asset showing the so called leverage effect (high volatility when the asset price is low), a VaR constraint reevaluated over time induces an agent more risk averse than a logarithmic utility to take more risk than in the unconstrained setting. 
