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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/108377

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/108377

    Title: A General Optimal Investment Model in the Presence of Background Risk
    Authors: Moawia Algha;Moawia Alghalith;Xu-Guo;黃永強;WONG,WING-KEUNG;Lixing Zhu
    Contributors: 財務金融學系
    Date: 2017-03
    Issue Date: 2017-12-08 14:06:31 (UTC+8)
    Abstract: In this paper we present two dynamic models of background risk. We first
    present a stochastic factor model with an additive background risk. Thereafter, we present
    a dynamic model of simultaneous (correlated) multiplicative background risk and additive
    background risk. In so doing, we use a general utility function.
    Appears in Collections:[財務金融學系] 期刊論文

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