Article ID: | iaor200973430 |
Volume: | 172 |
Issue: | 1 |
Start Page Number: | 97 |
End Page Number: | 117 |
Publication Date: | Nov 2009 |
Journal: | Annals of Operations Research |
Authors: | Hainaut Donatien |
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 Constant Relative Risk Aversion (CRRA) utility of terminal wealth with and without value at risk constraint.