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  • Search: subject:"Multiplicative background risk"
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Year of publication
Subject
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Multiplicative background risk 4 Risiko 4 Risk 4 Portfolio selection 3 Portfolio-Management 3 Theorie 3 Theory 3 multiplicative background risk 3 Additive background risk 2 Derived relative risk aversion 2 Multivariate Analyse 2 Multivariate analysis 2 Portfolio choice 2 Risikoaversion 2 Risikomanagement 2 Risikomodell 2 Risk aversion 2 Risk management 2 Risk model 2 Statistical distribution 2 Statistische Verteilung 2 aggregate risk 2 collective risk model 2 individual risk model 2 multiplicative background risk model 2 multivariate gamma distribution 2 Additive 1 Capital allocation 1 Decision under risk 1 Decision under uncertainty 1 Derived risk aversion 1 Derived risk aversion Additive 1 Entscheidung unter Risiko 1 Entscheidung unter Unsicherheit 1 FSD changes 1 Inflation 1 Matrix-exponential distribution 1 Multiplicative background risk models 1 Multivariate affine mixtures 1 Option pricing theory 1
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Online availability
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Free 4 Undetermined 4
Type of publication
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Article 6 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Article 1 Working Paper 1
Language
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English 8 Undetermined 2
Author
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Schlesinger, Harris 4 Franke, Günter 3 Stapleton, Richard C. 3 Furman, Edward 2 Semenikhine, Vadim 2 Su, Jianxi 2 Alghalith, Moawia 1 Cheung, Eric C. K. 1 Choe, Kwang-Il 1 Franke, Guenter 1 Guo, Xu 1 Huang, Xiaoxia 1 Ma, Di 1 Peralta, Oscar 1 Sakagami, Yoshitaka 1 Stapleton, Richard 1 Wong, Wing Keung 1 Woo, Jae-Kyung 1 Zhu, Lixing 1
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Institution
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EconWPA 1 Fachbereich Wirtschaftswissenschaften, Universität Konstanz 1 Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften 1
Published in...
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CoFE Discussion Paper 2 Annals of financial economics 1 Insurance / Mathematics & economics 1 International review of economics & finance : IREF 1 Journal of Economic Theory 1 Risk and Insurance 1 Risks 1 Risks : open access journal 1 Working Paper Series of the Department of Economics, University of Konstanz 1
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Source
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ECONIS (ZBW) 4 RePEc 4 EconStor 2
Showing 1 - 10 of 10
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Uncertain mean-variance portfolio model with inflation taking linear uncertainty distributions
Huang, Xiaoxia; Ma, Di; Choe, Kwang-Il - In: International review of economics & finance : IREF 87 (2023), pp. 203-217
Persistent link: https://www.econbiz.de/10014472066
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Multivariate matrix-exponential affine mixtures and their applications in risk theory
Cheung, Eric C. K.; Peralta, Oscar; Woo, Jae-Kyung - In: Insurance / Mathematics & economics 106 (2022), pp. 364-389
Persistent link: https://www.econbiz.de/10013380617
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On a multiplicative multivariate gamma distribution with applications in insurance
Semenikhine, Vadim; Furman, Edward; Su, Jianxi - In: Risks 6 (2018) 3, pp. 1-20
multiplicative background risk model (MBRM), has been by far less investigated. In this paper, we reintroduce the multiplicative …
Persistent link: https://www.econbiz.de/10011996637
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On a multiplicative multivariate gamma distribution with applications in insurance
Semenikhine, Vadim; Furman, Edward; Su, Jianxi - In: Risks : open access journal 6 (2018) 3, pp. 1-20
multiplicative background risk model (MBRM), has been by far less investigated. In this paper, we reintroduce the multiplicative …
Persistent link: https://www.econbiz.de/10011890776
Saved in:
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Risk Taking with Additive and Multiplicative Background Risks
Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2011
We examine the effects of background risks on optimal portfolio choice. Examples of background risks include uncertain labor income, uncertainty about the terminal value of fixed assets such as housing and uncertainty about future tax liabilities. While some of these risks are additive and have...
Persistent link: https://www.econbiz.de/10009141836
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A general optimal investment model in the presence of background risk
Alghalith, Moawia; Guo, Xu; Wong, Wing Keung; Zhu, Lixing - In: Annals of financial economics 11 (2016) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10011503987
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Non-market wealth, background risk and portfolio choice
Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - 2007
We examine the effects of non-portfolio risks on optimal portfolio choice. Examples of non-portfolio risks include, among others, uncertain labor income, uncertainty about the terminal value of fixed assets such as housing and uncertainty about future tax liabilities. In particular, while some...
Persistent link: https://www.econbiz.de/10010276764
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Risk taking with additive and multiplicative background risks
Franke, Guenter; Schlesinger, Harris; Stapleton, Richard C. - In: Journal of Economic Theory 146 (2011) 4, pp. 1547-1568
We examine the effects of background risks on optimal portfolio choice. Examples of background risks include uncertain labor income, uncertainty about the terminal value of fixed assets such as housing and uncertainty about future tax liabilities. While some of these risks are additive and have...
Persistent link: https://www.econbiz.de/10009249203
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Non-Market Wealth, Background Risk and Portfolio Choice
Franke, Günter; Schlesinger, Harris; Stapleton, Richard - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2007
We examine the effects of non-portfolio risks on optimal portfolio choice. Examples of non-portfolio risks include, among others, uncertain labor income, uncertainty about the terminal value of fixed assets such as housing and uncertainty about future tax liabilities . In particular, while some...
Persistent link: https://www.econbiz.de/10005146744
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The Effect of FSD Changes in Multiplicative Background Risk on Risk-taking Attitude
Sakagami, Yoshitaka - EconWPA - 2005
) changes in multiplicative background risk. …
Persistent link: https://www.econbiz.de/10005124992
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