An analysis of portfolio selection with multiplicative background risk

Xu Guo, Wing-Keung Wong and Lixing Zhu

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the impact of multiplicative background risk on an investor's portfolio choice in a mean-variance framework. We also study the efficient boundary frontiers with and without risk-free security.

Keywords: Background risk; Portfolio selection; VaR; CVaR (search for similar items in EconPapers)
JEL-codes: C02 G11 (search for similar items in EconPapers)
Date: 2013-11-08
New Economics Papers: this item is included in nep-rmg and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:51331

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