Value-at-risk-based risk management: Optimal policies and asset prices

• 成果类型: Article
• 署名作者: Basak, S; Shapiro, A
• 署名单位: University of London; London Business School; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/14.2.371
• 发表日期: 2001
• 页码: 371
• 关键词: PORTFOLIO INSURANCE; options; consumption

摘要

This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk (VaR). We find that VaR risk managers often optimally choose a larger exposure to risky assets than non-risk managers and consequently incur larger losses when losses occur. We suggest an alternative risk-management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysis reveals that the presence of VaR risk managers amplifies the stock-market volatility at times of down markets and attenuates the volatility at times of up markets.