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Title: Ambiguity and optimal portfolio choice with Value-at-Risk constraint
Authors: Jang, Bong-Gyu
Park, Seyoung
Keywords: Ambiguity aversion
Risk aversion
Value-at-Risk (VaR)
Optimal portfolio
Wealth management
Issue Date: 2016
Publisher: © Elsevier
Citation: JANG, B-G. and PARK, S., 2016. Ambiguity and optimal portfolio choice with Value-at-Risk constraint. Finance Research Letters, 18, pp. 158-176.
Abstract: © 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.
Description: 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.2016.04.013
Sponsor: This research in the paper is supported by the National Research Foundation of Korea Grant funded by the Korean Government (NRF-2013R1A2A2A03068890 , NRF- 2014S1A3A2036037 ).
Version: Accepted for publication
DOI: 10.1016/j.frl.2016.04.013
URI: https://dspace.lboro.ac.uk/2134/27509
Publisher Link: https://doi.org/10.1016/j.frl.2016.04.013
ISSN: 1544-6123
Appears in Collections:Published Articles (Business)

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