@article{f0373a0a28b34b17af77c5e7a10370dd,
title = "A General Optimal Investment Model in The Presence of Background Risk",
abstract = "In this paper we present two dynamic models of background risk. We first present a stochastic factor model with an additive background risk. Then, we present a dynamic model of simultaneous (correlated) multiplicative background risk and additive background risk. In so doing, we use a general utility function. ",
keywords = "additive background risk, dynamic model, multiplicative background risk, optimal investment, Stochastic factor",
author = "Moawia Alghalith and Xu Guo and Wong, {Wing Keung} and Lixing Zhu",
note = "Funding Information: The authors are grateful to Michale McAleer, the Editor-in-Chief, and anonymous referee for substantive comments that have significantly improved this paper. The third author would like to thanl Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement. This research is partially supported by grants from University of St. Andrews, Nanjing University of Aeronautics and Astronautics, Hong Kong Baptist University (FRG2/14-15/040, FRG2/14-15/106), and Research Grants Council (RGC) of Hong Kong (12502814 and 12500915.) Publisher Copyright: {\textcopyright} 2016 World Scientific Publishing Company.",
year = "2016",
month = mar,
doi = "10.1142/S2010495216500019",
language = "English",
volume = "11",
journal = "Annals of Financial Economics",
issn = "2010-4952",
publisher = "World Scientific Publishing Co. Pte Ltd",
number = "1",
}