Optimal HARA Investments with Terminal VaR Constraints

Table 1

Sensitivities for comparative analysis.

Sensitivity	Description	Minimum	Maximum	Step size	Settings j
	VaR probability	0.5%	50%	1.2%	42
	BS risky asset drift	4%	20%	1.4%	12
	BS risky asset volatility	10%	60%	5%	11
	Investment horizon	1Y	25Y	1Y	13
	VaR barrier	10% of	90% of	5% of	18
	Minimum guarantee at T	25% of	75% of	3.2% of	16