VaR constrained asset pricing with relative performance

DOI10.1016/j.econlet.2013.07.026zbMath1288.91096OpenAlexW2039785034MaRDI QIDQ2451394

Xiangbo Liu, Yan Xiong, Zhigang Qiu

Publication date: 3 June 2014

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2013.07.026

zbMATH Keywords

asset pricingvalue-at-risk (VaR)relative performancefinancial institution

Mathematics Subject Classification ID

Cites Work

• Continuous Auctions and Insider Trading