An analysis of portfolio selection with multiplicative background risk

This 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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Year of publication:	2013-11-08
Authors:	Guo, Xu ; Wong, Wing-Keung ; Zhu, Lixing

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2013): An analysis of portfolio selection with multiplicative background risk.
Classification:	C02 - Mathematical Methods ; G11 - Portfolio Choice
Source:	BASE

Persistent link: https://www.econbiz.de/10015239598