VaR constrained asset pricing with relative performance

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 121
Issue: 2
Pages: 174-178

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:121:y:2013:i:2:p:174-178
Journal Field
General
Author Count
3
Added to Database
2026-01-25