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Article: VaR constrained asset pricing with relative performance

TitleVaR constrained asset pricing with relative performance
Authors
Liu, XiangboQiu, ZhigangXiong, Yan
KeywordsAsset pricing
Financial institution
Relative performance
Value-at-Risk (VaR)
Issue Date2013
Citation
Economics Letters, 2013, v. 121, n. 2, p. 174-178 How to Cite?
DOI: http://dx.doi.org/10.1016/j.econlet.2013.07.026
AbstractThis 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. © 2013 Elsevier B.V.
Persistent Identifierhttp://hdl.handle.net/10722/350216
ISSN
0165-1765
2023 Impact Factor: 2.1
2023 SCImago Journal Rankings: 0.729

 

DC FieldValueLanguage
dc.contributor.authorLiu, Xiangbo-
dc.contributor.authorQiu, Zhigang-
dc.contributor.authorXiong, Yan-
dc.date.accessioned2024-10-21T04:35:07Z-
dc.date.available2024-10-21T04:35:07Z-
dc.date.issued2013-
dc.identifier.citationEconomics Letters, 2013, v. 121, n. 2, p. 174-178-
dc.identifier.issn0165-1765-
dc.identifier.urihttp://hdl.handle.net/10722/350216-
dc.description.abstractThis 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. © 2013 Elsevier B.V.-
dc.languageeng-
dc.relation.ispartofEconomics Letters-
dc.subjectAsset pricing-
dc.subjectFinancial institution-
dc.subjectRelative performance-
dc.subjectValue-at-Risk (VaR)-
dc.titleVaR constrained asset pricing with relative performance-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.econlet.2013.07.026-
dc.identifier.scopuseid_2-s2.0-84883328343-
dc.identifier.volume121-
dc.identifier.issue2-
dc.identifier.spage174-
dc.identifier.epage178-

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