Portfolio choices and VaR constraint with a defaultable asset
研究了在违约风险资产价格服从CEV模型（具有杠杆效应）时，随时间重新评估的VaR约束如何使比对数效用更厌恶风险的投资者比无约束时承担更多风险。
We consider a Constant Elasticity of Variance (CEV) model for the asset price of a defaultable asset showing the so-called leverage effect (high volatility when the asset price is low). We show that a VaR constraint re-evaluated over time induces an agent more risk averse than a logarithmic utility to take more risk than in the unconstrained setting.