A General Optimal Investment Model in The Presence of Background Risk

Moawia Alghalith; Xu Guo; Wing Keung Wong; Lixing Zhu

doi:10.1142/S2010495216500019

A General Optimal Investment Model in The Presence of Background Risk

Moawia Alghalith
, Xu Guo
, Wing Keung Wong^*
, Lixing Zhu

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

17 Citations (Scopus)

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.

Original language	English
Article number	1650001
Journal	Annals of Financial Economics
Volume	11
Issue number	1
DOIs	https://doi.org/10.1142/S2010495216500019
Publication status	Published - Mar 2016

User-Defined Keywords

additive background risk
dynamic model
multiplicative background risk
optimal investment
Stochastic factor

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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.",

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AU - Alghalith, Moawia

AU - Guo, Xu

AU - Wong, Wing Keung

AU - Zhu, Lixing

N1 - 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: © 2016 World Scientific Publishing Company.

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KW - additive background risk

KW - dynamic model

KW - multiplicative background risk

KW - optimal investment

KW - Stochastic factor

UR - https://www.scopus.com/pages/publications/85026560900

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DO - 10.1142/S2010495216500019

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JO - Annals of Financial Economics

JF - Annals of Financial Economics

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M1 - 1650001

ER -

A General Optimal Investment Model in The Presence of Background Risk

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