Risk-taking-neutral background risk

Arbeitspapier

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a decision made with and without some exogenous background risk, it is often easier to compare the decision made to one made with a RTN background risk. We use this methodology to prove and extend a well-known theorem about dynamic investment strategy, due to Mossin (1968a). We also use this methodology to analyze investment behavior in the presence of an income tax as well as to analyze investment behavior in the presence of particular types of background risks.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: CESifo Working Paper ; No. 4070

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Criteria for Decision-Making under Risk and Uncertainty ; Portfolio Choice; Investment Decisions
• Thema: background risk ; HARA utility ; income tax ; portfolio choice ; risk vulnerability ; Entscheidung bei Risiko ; Risikopräferenz ; Kapitalanlage ; Einkommensteuer ; Portfolio-Management ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Franke, Guenter ; Schlesinger, Harris ; Stapleton, Richard C.
• Ereignis: Veröffentlichung
• (wer): Center for Economic Studies and ifo Institute (CESifo)
• (wo): Munich
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/69526
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ