Non-Market Wealth, Background Risk and Portfolio Choice

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FRANKE, Günter, Harris SCHLESINGER, Richard C. STAPLETON, 2007. Non-Market Wealth, Background Risk and Portfolio Choice

@techreport{Franke2007Non-M-11962, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Non-Market Wealth, Background Risk and Portfolio Choice}, year={2007}, number={2007/11}, author={Franke, Günter and Schlesinger, Harris and Stapleton, Richard C.} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/11962"> <dc:creator>Franke, Günter</dc:creator> <dc:format>application/pdf</dc:format> <dcterms:title>Non-Market Wealth, Background Risk and Portfolio Choice</dcterms:title> <dc:creator>Schlesinger, Harris</dc:creator> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:24Z</dcterms:available> <dc:language>eng</dc:language> <dcterms:abstract xml:lang="eng">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).</dcterms:abstract> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/11962"/> <dc:creator>Stapleton, Richard C.</dc:creator> <dcterms:rights rdf:resource="https://creativecommons.org/licenses/by-nc-nd/2.0/legalcode"/> <dc:contributor>Stapleton, Richard C.</dc:contributor> <dcterms:issued>2007</dcterms:issued> <dc:contributor>Schlesinger, Harris</dc:contributor> <dc:rights>deposit-license</dc:rights> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:41:24Z</dc:date> <dc:contributor>Franke, Günter</dc:contributor> </rdf:Description> </rdf:RDF>

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