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- Publisher Website: 10.1016/j.econlet.2013.07.026
- Scopus: eid_2-s2.0-84883328343
- WOS: WOS:000326614200009
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Article: VaR constrained asset pricing with relative performance
| Title | VaR constrained asset pricing with relative performance |
|---|---|
| Authors | |
| Keywords | Asset pricing Financial institution Relative performance Value-at-Risk (VaR) |
| Issue Date | 2013 |
| Citation | Economics Letters, 2013, v. 121, n. 2, p. 174-178 How to Cite? |
| 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. © 2013 Elsevier B.V. |
| Persistent Identifier | http://hdl.handle.net/10722/350216 |
| ISSN | 2023 Impact Factor: 2.1 2023 SCImago Journal Rankings: 0.729 |
| ISI Accession Number ID |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Liu, Xiangbo | - |
| dc.contributor.author | Qiu, Zhigang | - |
| dc.contributor.author | Xiong, Yan | - |
| dc.date.accessioned | 2024-10-21T04:35:07Z | - |
| dc.date.available | 2024-10-21T04:35:07Z | - |
| dc.date.issued | 2013 | - |
| dc.identifier.citation | Economics Letters, 2013, v. 121, n. 2, p. 174-178 | - |
| dc.identifier.issn | 0165-1765 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/350216 | - |
| dc.description.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. © 2013 Elsevier B.V. | - |
| dc.language | eng | - |
| dc.relation.ispartof | Economics Letters | - |
| dc.subject | Asset pricing | - |
| dc.subject | Financial institution | - |
| dc.subject | Relative performance | - |
| dc.subject | Value-at-Risk (VaR) | - |
| dc.title | VaR constrained asset pricing with relative performance | - |
| dc.type | Article | - |
| dc.description.nature | link_to_subscribed_fulltext | - |
| dc.identifier.doi | 10.1016/j.econlet.2013.07.026 | - |
| dc.identifier.scopus | eid_2-s2.0-84883328343 | - |
| dc.identifier.volume | 121 | - |
| dc.identifier.issue | 2 | - |
| dc.identifier.spage | 174 | - |
| dc.identifier.epage | 178 | - |
| dc.identifier.isi | WOS:000326614200009 | - |