An analysis of portfolio selection with multiplicative background risk
AbstractThis paper investigates the impact of multiplicative background risk on an investor's portfolio choice in a mean-variance framework. We also study the efficient boundary frontiers with and without risk-free security.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 51331.
Date of creation: 08 Nov 2013
Date of revision:
Background risk; Portfolio selection; VaR; CVaR;
Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-11-16 (All new papers)
- NEP-RMG-2013-11-16 (Risk Management)
- NEP-UPT-2013-11-16 (Utility Models & Prospect Theory)
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