CodiceQDD 91
TitoloPortfolio choices and VaR constraint with a defaultable asset
Autore/iBarucci, E.; Cosso, A.
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AbstractAssuming 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.