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Abstract

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.



Item Type: MPRA Paper -

Original Title: An analysis of portfolio selection with multiplicative background risk-

Language: English-

Keywords: Background risk; Portfolio selection; VaR; CVaR-

Subjects: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical MethodsG - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions-





Author: Guo, Xu

Source: https://mpra.ub.uni-muenchen.de/51331/







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