Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10011751869
Persistent link: https://www.econbiz.de/10011805991
Persistent link: https://www.econbiz.de/10012165911
Persistent link: https://www.econbiz.de/10012131547
Persistent link: https://www.econbiz.de/10012633819
Persistent link: https://www.econbiz.de/10013255973
Persistent link: https://www.econbiz.de/10012502363
Persistent link: https://www.econbiz.de/10011566890
Persistent link: https://www.econbiz.de/10011705829
We study the effects of imposing repeated short-horizon regulatory constraints on long-term investors. We show that Value-at-Risk and Expected Shortfall constraints, when imposed dynamically, lead to similar optimal portfolios and wealth distributions. We also show that, in utility terms, the...
Persistent link: https://www.econbiz.de/10010580944