A general optimal investment model in the presence of background risk
Moawia Alghalith, Xu Guo, Wing-Keung Wong and Lixing Zhu
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Alghalith, Moawia ; Guo, Xu ; Wong, Wing Keung ; Zhu, Lixing |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 11.2016, 1, p. 1-8
|
| Subject: | Stochastic factor | optimal investment | additive background risk | multiplicative background risk | dynamic model | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Risiko | Risk | Stochastischer Prozess | Stochastic process | Entscheidung unter Risiko | Decision under risk | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495216500019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011503987