A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK
Wing-Keung Wong () and
Additional contact information
Moawia Alghalith: Department of Economics, The University of the West Indies, I, St. Augustine, Trinidad & Tobogo
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
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
Working Paper: A General Optimal Investment Model in the Presence of Background Risk (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500019
Ordering information: This journal article can be ordered from
Access Statistics for this article
Annals of Financial Economics (AFE) is currently edited by Michael McAleer
More articles in Annals of Financial Economics (AFE) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().