A General Optimal Investment Model in the Presence of Background Risk
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- Moawia Alghalith & Xu Guo & Wing-Keung Wong & Lixing Zhu, 2016. "A General Optimal Investment Model In The Presence Of Background Risk," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-8, March.
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More about this item
Keywords
Stochastic factor model; utility function;JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2016-05-08 (Operations Research)
- NEP-PKE-2016-05-08 (Post Keynesian Economics)
- NEP-RMG-2016-05-08 (Risk Management)
- NEP-UPT-2016-05-08 (Utility Models and Prospect Theory)
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