VaR constrained asset pricing with relative performance

Xiangbo Liu; Zhigang Qiu; Yan Xiong

doi:10.1016/j.econlet.2013.07.026

VaR constrained asset pricing with relative performance

Xiangbo Liu, Zhigang Qiu^*, Yan Xiong

^*Corresponding author for this work

Research output: Contribution to journal › Journal Article › peer-review

1 Citation (Scopus)

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.

Original language	English
Pages (from-to)	174-178
Number of pages	5
Journal	Economics Letters
Volume	121
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2013.07.026
Publication status	Published - Nov 2013
Externally published	Yes

Keywords

Asset pricing
Financial institution
Relative performance
Value-at-Risk (VaR)

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10.1016/j.econlet.2013.07.026

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@article{acc623a311a1429d8ad96182b5a01b17,

title = "VaR constrained asset pricing with relative performance",

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.",

keywords = "Asset pricing, Financial institution, Relative performance, Value-at-Risk (VaR)",

author = "Xiangbo Liu and Zhigang Qiu and Yan Xiong",

year = "2013",

month = nov,

doi = "10.1016/j.econlet.2013.07.026",

language = "English",

volume = "121",

pages = "174--178",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

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TY - JOUR

T1 - VaR constrained asset pricing with relative performance

AU - Liu, Xiangbo

AU - Qiu, Zhigang

AU - Xiong, Yan

PY - 2013/11

Y1 - 2013/11

N2 - 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.

AB - 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.

KW - Asset pricing

KW - Financial institution

KW - Relative performance

KW - Value-at-Risk (VaR)

UR - https://www.webofscience.com/wos/woscc/full-record/WOS:000326614200009

UR - https://openalex.org/W2039785034

U2 - 10.1016/j.econlet.2013.07.026

DO - 10.1016/j.econlet.2013.07.026

M3 - Journal Article

SN - 0165-1765

VL - 121

SP - 174

EP - 178

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

VaR constrained asset pricing with relative performance

Abstract

Keywords

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