The impact of background risk

Moawia Alghalith

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 24, 6506-6508

Abstract: In this paper, we introduce an incomplete-market dynamic investment model with a correlated background risk. In so doing, we show the impact of background risk on the investment decisions.

Keywords: Stochastic; Investment; Portfolio; Correlated; Background risk; Uncertainty (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:24:p:6506-6508

DOI: 10.1016/j.physa.2012.07.019

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