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.
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页数：8
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