A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK

Moawia Alghalith, Xu Guo, Wing-Keung Wong and Lixing Zhu
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Moawia Alghalith: Department of Economics, The University of the West Indies, I, St. Augustine, Trinidad & Tobogo
Xu Guo: #x2020;Nanjing University of Aeronautics and Astronautics, P. R. China
Lixing Zhu: #xA7;School of Statistics, Beijing Normal University, ChinaDepartment of mathematics, Hong Kong Baptist University, Kowloon Tang, Hong Kong

Annals of Financial Economics (AFE), 2016, vol. 11, issue 01, 1-8

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

Keywords: Stochastic factor; optimal investment; additive background risk; multiplicative background risk; dynamic model (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (21)

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Working Paper: A General Optimal Investment Model in the Presence of Background Risk (2016)
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DOI: 10.1142/S2010495216500019

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