VaR constrained asset pricing with relative performance

This paper shows that when Value-at-Risk constrained institutional investors care about their relative standings among the peer group, more risk averse investors would take more risk, which improves the risk sharing and lowers the volatility.

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Year of publication:	2013
Authors:	Liu, Xiangbo ; Qiu, Zhigang ; Xiong, Yan
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 2, p. 174-178
Publisher:	Elsevier
Subject:	Relative performance \| Financial institution \| Asset pricing \| Value-at-Risk (VaR)

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709099