A General Optimal Investment Model in the Presence of Background Risk

In this paper we present two dynamic models of background risk. We first present a stochastic factor model with an additive background risk. Thereafter, we present a dynamic model of simultaneous (correlated) multiplicative background risk and additive background risk. In so doing, we use a general utility function

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Year of publication:	2012
Authors:	Alghalith, Moawia
Other Persons:	Wong, Wing-Keung (contributor) ; Zhu, Lixing (contributor) ; Guo, Xu (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Entscheidung unter Risiko \| Decision under risk \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 18, 2012 erstellt
Other identifiers:	10.2139/ssrn.2131765 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013101800