A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK

被引：11

作者：

Alghalith, Moawia ^{[1
]}

Guo, Xu ^{[2
]}

Wong, Wing-Keung ^{[3
]}

Zhu, Lixing ^{[4
,5
]}

机构：

[1] Univ West Indies, Dept Econ, St Augustine, Trinidad Tobago

[2] Nanjing Univ Aeronaut & Astronaut, Nanjing, Jiangsu, Peoples R China

[3] Hong Kong Baptist Univ, Dept Econ, Kowloon Tang, Hong Kong, Peoples R China

[4] Beijing Normal Univ, Sch Stat, Beijing, Peoples R China

[5] Hong Kong Baptist Univ, Dept Math, Kowloon Tang, Hong Kong, Peoples R China

来源：

ANNALS OF FINANCIAL ECONOMICS | 2016年 / 11卷 / 01期

关键词：

Stochastic factor; optimal investment; additive background risk; multiplicative background risk; dynamic model;

D O I：

10.1142/S2010495216500019

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页数：8

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