A single-period model and some empirical evidences for asset allocation in a value-at-risk framework

Li, S 2003, 'A single-period model and some empirical evidences for asset allocation in a value-at-risk framework', Accounting, Accountability & Performance, vol. 9, no. 2, pp. 47-65.


Document type: Journal Article
Collection: Journal Articles

Title A single-period model and some empirical evidences for asset allocation in a value-at-risk framework
Author(s) Li, S
Year 2003
Journal name Accounting, Accountability & Performance
Volume number 9
Issue number 2
Start page 47
End page 65
Total pages 19
Publisher Griffith University * Department of Accounting, Finance & Economics
Abstract This paper considers the optimal asset allocation problems under valueat- risk (VaR) constraints by deriving a single-period optimal asset allocation model (VaR model). The model reveals that the optimal allocation of funds in risky assets is dependent on the distribution of the returns of risky assets and the VaR level, but independent of the acceptable loss ratio. The acceptable loss ratio only plays a role in determining the amount to be borrowed or lent at the risk-free rate. As an application of the model, the optimal asset allocation between two asset classes, bonds and stocks, is addressed. The empirical results obtained for the US, Australia and the UK show that the mechanism of asset allocation under VaR constraints is fundamentally different from the classical mean-variance approach.
Subject Finance
Copyright notice © 2003 Author
ISSN 1445-954X
Versions
Version Filter Type
Access Statistics: 124 Abstract Views  -  Detailed Statistics
Created: Fri, 25 May 2012, 12:57:00 EST by Catalyst Administrator
© 2014 RMIT Research Repository • Powered by Fez SoftwareContact us