Ambiguity and optimal portfolio choice with Value-at-Risk constraint

© 2016 Elsevier Inc. Integrating a Value-at-Risk constraint on a fund manager's wealth and ambiguity, we present a model of optimal portfolio choice for a fund manager who allocates her wealth between risky and riskless assets. When a fund manager controls asset composition, her reactions diffe...

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Bibliographic Details

Main Authors:	Bong-Gyu Jang, Seyoung Park
Format:	Default Article
Published:	2016
Subjects:	Other commerce, management, tourism and services not elsewhere classified Ambiguity aversion Risk aversion Value-at-Risk (VaR) Optimal portfolio Wealth management Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/27509
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