Ambiguity and optimal portfolio choice with Value-at-Risk constraint
journal contribution
posted on 2017-11-20, 09:31 authored by Bong-Gyu Jang, Seyoung Park© 2016 Elsevier Inc. Integrating a Value-at-Risk constraint on a fund manager's wealth and ambiguity, we present a model of optimal portfolio choice for a fund manager who allocates her wealth between risky and riskless assets. When a fund manager controls asset composition, her reactions differ with respect to an increase in only risk aversion and only ambiguity aversion. When the sum of coefficients of risk aversion and ambiguity aversion is fixed, the effect of risk aversion on risky investment dominates the effect of ambiguity aversion in that stock holdings are dramatically smaller in the absence of ambiguity aversion than in its presence.
Funding
This research in the paper is supported by the National Research Foundation of Korea Grant funded by the Korean Government (NRF-2013R1A2A2A03068890 , NRF- 2014S1A3A2036037 ).
History
School
- Business and Economics
Department
- Business
Published in
Finance Research LettersVolume
18Pages
158 - 176Citation
JANG, B-G. and PARK, S., 2016. Ambiguity and optimal portfolio choice with Value-at-Risk constraint. Finance Research Letters, 18, pp. 158-176.Publisher
© ElsevierVersion
- AM (Accepted Manuscript)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Acceptance date
2016-08-03Publication date
2016Notes
This paper was accepted for publication in the journal Finance Research Letters and the definitive published version is available at https://doi.org/10.1016/j.frl.2016.04.013ISSN
1544-6123Publisher version
Language
- en
