Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - 2013
a RTN background risk. We use this methodology to prove and extend a well-known theorem about dynamic investment … strategy, due to Mossin (1968a). We also use this methodology to analyze investment behavior in the presence of an income tax … as well as to analyze investment behavior in the presence of particular types of background risks. -- background risk …