A General Optimal Investment Model in the Presence of Background Risk
Xu Guo (),
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
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (13) Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/70644/1/MPRA_paper_70644.pdf original version (application/pdf)
Journal Article: 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:pra:mprapa:70644
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().