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- W3006758221 abstract "There is a risk of extreme events in financial markets. This risk is often understated as we have seen in portfolios of subprime mortgages during the 2008 financial crisis. The goal of this study is to draw inferences about the cross-section of VaR estimates for different asset allocation funds. The study answers this question for 7 different asset allocations 100% stock (S), 100% T’bonds (B), 100% T’bills (or Cash), .4S+.4B+.2Cash, .6S+.4B, .8S+.2B, and .8S+.2Cash. Further, the present study determines that stock-bond-bill asset allocation over a five-year planning period which minimizes VaR while earning a minimum of 7% return is 72.3% stocks and 27.7% bonds." @default.
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- W3006758221 date "2020-02-29" @default.
- W3006758221 modified "2023-10-05" @default.
- W3006758221 title "VALUE AT RISK: SENSITIVITY TO DIFFERENT ASSET ALLOCATION STRATEGIES DURING RETIREMENT" @default.
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- W3006758221 doi "https://doi.org/10.33642/ijbass.v6n2p7" @default.
- W3006758221 hasPublicationYear "2020" @default.
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