A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK
Wing-Keung Wong () and
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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)
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Working Paper: A General Optimal Investment Model in the Presence of Background Risk (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500019
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