【摘 要】
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This paper investigates the impacts of background risk on investors’ portfolio choice in a mean-variance framework and analyzes the properties of the selec
【机 构】
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School of Management and Economics University of Electronic Science and Technology of China Chengdu,
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This paper investigates the impacts of background risk on investors’ portfolio choice in a mean-variance framework and analyzes the properties of the selected portfolio and investors’ hedging behaviour.Our model implies that the optimal portfolio with background risk can be separated into two independent components: the traditional mean-variance optimal portfolio and the self-financing portfolio constructed to hedge against background risk.Our results show that both the composition and risk of the optimal portfolio are greatly affected by a number of background risk factors,including the quantity and risk of the assets that are exposed to background risk,as well as the correlation between background assets and those in the portfolio.
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