Publikation:

Non-Market Wealth, Background Risk and Portfolio Choice

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cofe_dp07_11.pdf
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Datum

2007

Autor:innen

Stapleton, Richard C.

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-116661
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Link zur Lizenz
Attribution-NonCommercial-NoDerivs 2.0 Generic

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Open Access-Veröffentlichung
Open Access Green

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Wirtschaftswissenschaften: Publikationen
Core Facility der Universität Konstanz

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Titel in einer weiteren Sprache

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Working Paper/Technical Report
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Published

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Zusammenfassung

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 of these risks are added to portfolio value and have been amply studied, others are multiplicative in nature and have received far less attention. Moreover, the combined effects of multiple risks lead to some seemingly paradoxical choice behavior. We rationalize such behavior and we show how non-portfolio risks might lead to seemingly U-shaped relative risk aversion for a representative investor, as found empirically by Ait-Sahilia and Lo (2000) and Jackwerth (2000).

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Portfolio choice, Derived relative risk aversion, Additive background risk, Multiplicative background risk

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ISO 690FRANKE, Günter, Harris SCHLESINGER, Richard C. STAPLETON, 2007. Non-Market Wealth, Background Risk and Portfolio Choice
BibTex
@techreport{Franke2007NonMa-11962,
  year={2007},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Non-Market Wealth, Background Risk and Portfolio Choice},
  number={2007/11},
  author={Franke, Günter and Schlesinger, Harris and Stapleton, Richard C.}
}
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