Optimal portfolio and background risk: An exact and an approximated solution

Insurance: Mathematics and Economics

Volumn 31, Issue 2, 2002, Pages 249-265

  Menoncin, Francesco ^a  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Asset allocation; Background risk; Feyman Ka theorem; Inflation risk; Stochastic investment opportunities

Indexed keywords

EID: 0037131253     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00154-3     Document Type: Article

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