Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
分析了在VaR约束下，追求效用最大化的投资者如何调整动态投资组合与消费决策，发现VaR管理者倾向于承担更大风险并放大市场下行波动，并提出基于预期损失的替代模型。
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.