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• Optimal HARA Investments with Terminal VaR Constraints.

  Authors:Marcos Escobar-Anel, Maximilian Keller, and Rudi ZagstFrom:Advances in Operations Research (Vol. 2022) Peer-Reviewed

  May 9, 20228,847 words Article 1400LThis paper studies the impact of Value at Risk (VaR) constraints on investors with hyperbolic absolute risk aversion (HARA) risk preferences. We derive closed-form representations for the “triplet”: optimal investment,...