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The impact of background risk. (2012). Alghalith, Moawia.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:391:y:2012:i:24:p:6506-6508.

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Cited: 3

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Cocites: 21

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Citations received by this document

  1. A High-Moment Trapezoidal Fuzzy Random Portfolio Model with Background Risk. (2018). Li, Liuyan ; Xiong, Deng.
    In: Journal of Systems Science and Information.
    RePEc:bpj:jossai:v:6:y:2018:i:1:p:1-28:n:1.

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  2. A GENERAL OPTIMAL INVESTMENT MODEL IN THE PRESENCE OF BACKGROUND RISK. (2016). Wong, Wing-Keung ; Guo, Xu ; Alghalith, Moawia ; Zhu, Lixing.
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500019.

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  3. A fuzzy portfolio selection model with background risk. (2015). Xu, Weijun ; Zhang, Weiguo ; Li, Ting.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:256:y:2015:i:c:p:505-513.

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References

References cited by this document

  1. Alghalith, M. A new stochastic factor model: general explicit solutions. 2009 Applied Mathematics Letters. 22 1852-1854
    Paper not yet in RePEc: Add citation now
  2. Baptista, A.M. Optimal delegated portfolio management with background risk. 2008 Journal of Banking and Finance. 32 977-985

  3. Cardak, B.A. ; Wilkins, R. The determinants of household risky asset holdings: Australian evidence on background risk and other factors. 2009 Journal of Banking and Finance. 33 850-860

  4. Cvitanic, J. ; Zapatero, F. Introduction to the Economics and Mathematics of Financial Markets. 2004 MIT Press: Cambridge, MA

  5. Eichner, T. ; Wagener, A. Multiple risks and mean-variance preferences. 2009 Operations Research. 57 1142-1154

  6. Fan, E. ; Zhao, R. Health status and portfolio choice: causality or heterogeneity. 2009 Journal of Banking and Finance. 33 1079-1088

  7. Franke, G. ; Schlesinger, H. ; Stapleton, R.C. Multiplicative background risk. 2006 Management Science. 52 146-153

  8. Franke, G. ; Schlesinger, H. ; Stapleton, R.C. Risk taking with additive and multiplicative background risks. 2011 Journal of Economic Theory. 146 1547-1568

  9. Gollier, C. ; Pratt, J.W. Risk vulnerability and the tempering effect of background risk. 1996 Econometrica. 64 1109-1124

  10. Jiang, C. ; Ma, Y. ; An, Y. An analysis of portfolio selection with background risk. 2010 Journal of Banking and Finance. 34 3055-3060

  11. Li, J. The demand for a risky asset in the presence of a background risk. 2011 Journal of Economic Theory. 146 372-391

  12. Pelizzon, L. ; Weber, G. Efficient portfolios when housing needs change over the life cycle. 2009 Journal of Banking and Finance. 33 2110-2121

  13. Pratt, J.W. Aversion to one risk in the presence of others. 1988 Journal of Risk and Uncertainty. 1 395-413

  14. Quiggin, J. Background risk in generalized expected utility theory. 2003 Economic Theory. 22 607-611

Cocites

Documents in RePEc which have cited the same bibliography

  1. The impact of digital finance on household participation in risky financial markets: Evidence-based study from China. (2022). Ye, Yun ; Pu, Yongjian ; Xiong, Ailun.
    In: PLOS ONE.
    RePEc:plo:pone00:0265606.

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  2. How does background risk affect portfolio choice: An analysis based on uncertain mean-variance model with background risk. (2020). Huang, Xiaoxia ; Yang, Tingting.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302997.

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  3. Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk. (2019). Wong, Wing-Keung ; Guo, XU ; Chan, Raymond H ; Zhu, Lixing.
    In: Risk Management.
    RePEc:pal:risman:v:21:y:2019:i:2:d:10.1057_s41283-018-0043-2.

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  4. Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity. (2018). Brandtner, Mario.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:89:y:2018:i:c:p:138-149.

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  5. A High-Moment Trapezoidal Fuzzy Random Portfolio Model with Background Risk. (2018). Li, Liuyan ; Xiong, Deng.
    In: Journal of Systems Science and Information.
    RePEc:bpj:jossai:v:6:y:2018:i:1:p:1-28:n:1.

    Full description at Econpapers || Download paper

  6. Uncertain portfolio selection with background risk. (2016). Huang, Xiaoxia ; Di, Hao.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:276:y:2016:i:c:p:284-296.

    Full description at Econpapers || Download paper

  7. A fuzzy portfolio selection model with background risk. (2015). Xu, Weijun ; Zhang, Weiguo ; Li, Ting.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:256:y:2015:i:c:p:505-513.

    Full description at Econpapers || Download paper

  8. Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk. (2013). Zhu, Lixing ; Wong, Wing-Keung ; Guo, Xu ; Lixing, Zhu ; Wing-Keung, Wong ; Xu, Guo.
    In: MPRA Paper.
    RePEc:pra:mprapa:51827.

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  9. An analysis of portfolio selection with multiplicative background risk. (2013). Zhu, Lixing ; Wong, Wing-Keung ; Guo, Xu.
    In: MPRA Paper.
    RePEc:pra:mprapa:51331.

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  10. International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective. (2013). An, Yunbi ; Ma, Yongkai ; Jiang, Chong Hui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:648-659.

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  11. Portfolio selection and portfolio frontier with background risk. (2013). Huang, Hung-Hsi ; Wang, Ching-Ping.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:177-196.

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  12. The impact of background risk. (2012). Alghalith, Moawia.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:24:p:6506-6508.

    Full description at Econpapers || Download paper

  13. Portfolio selection with mental accounts and background risk. (2012). Baptista, Alexandre.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:4:p:968-980.

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  14. Are You Risk Averse over Other Peoples Money?. (2011). Harrison, Glenn ; Chakravarty, Sujoy ; Haruvy, Ernan E ; Rutstrom, Elisabet E.
    In: Southern Economic Journal.
    RePEc:wly:soecon:v:77:y:2011:i:4:p:901-913.

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  15. Portfolio selection with mental accounts and delegation. (2011). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2637-2656.

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  16. Active portfolio management with benchmarking: A frontier based on alpha. (2010). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:9:p:2185-2197.

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  17. An analysis of portfolio selection with background risk. (2010). An, Yunbi ; Ma, Yongkai ; Jiang, Chong Hui.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:12:p:3055-3060.

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  18. Health status and portfolio choice: Causality or heterogeneity?. (2009). Zhao, Ruoyun (Lucy) ; Fan, Elliott.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:6:p:1079-1088.

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  19. The determinants of household risky asset holdings: Australian evidence on background risk and other factors. (2009). Wilkins, Roger ; Cardak, Buly.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:5:p:850-860.

    Full description at Econpapers || Download paper

  20. Efficient portfolios when housing needs change over the life cycle. (2009). Weber, Guglielmo ; Pelizzon, Loriana.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:2110-2121.

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  21. The delegated portfolio management problem: Reputation and herding. (2009). Villatoro, Félix.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:2062-2069.

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