A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK-Reference-Cited by-同舟云学术

A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK

Published:2016-03 Issue:01 Volume:11 Page:1650001
ISSN:2010-4952
Container-title:Annals of Financial Economics
language:en
Short-container-title:Ann. Finan. Econ.

Author:

ALGHALITH MOAWIA¹,GUO XU²,WONG WING-KEUNG³,ZHU LIXING⁴⁵

Affiliation:

1. Department of Economics, The University of the West Indies, I, St. Augustine, Trinidad & Tobogo

2. Nanjing University of Aeronautics and Astronautics, P. R. China

3. Department of Economics, Hong Kong Baptist University, Kowloon Tang, Hong Kong

4. School of Statistics, Beijing Normal University, China

5. Department of mathematics, Hong Kong Baptist University, Kowloon Tang, Hong Kong

Abstract

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

Economics and Econometrics,Finance,Business and International Management

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2010495216500019

Reference24 articles.

1. A new stochastic factor model: General explicit solutions

2. The impact of background risk

3. Household Finance

4. The determinants of household risky asset holdings: Australian evidence on background risk and other factors

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