A General Optimal Investment Model in the Presence of Background Risk
Wing-Keung Wong () and
MPRA Paper from University Library of Munich, Germany
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.
Keywords: Stochastic factor model; utility function (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ore, nep-pke, nep-rmg and nep-upt
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:70644
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