The impact of background risk
AbstractIn this paper, we introduce an incomplete-market dynamic investment model with a correlated background risk. In so doing, we show the impact of background risk on the investment decisions.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 391 (2012)
Issue (Month): 24 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Stochastic; Investment; Portfolio; Correlated; Background risk; Uncertainty;
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