Tsetlin, Ilia; Winkler, Robert L. - In: Management Science 51 (2005) 9, pp. 1336-1345
wealth ("background risk"). The presence of background risk can change the optimal course of action with respect to a project …, and ignoring such risk might lead to a poor decision. Most work on background risk assumes that project risk and … background risk are independent and are additive in their impact on wealth. However, independence is often unrealistic, and …