Portfolio choice in the presence of background risk
Portfolio choice in the presence of background risk
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DOI：
10.1111/1468-0297.00488
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发表时间：
2000-01-01
期刊：
影响因子：
3.2
通讯作者：
Lucas, D
中科院分区：
文献类型：
--
作者：
Heaton, J;Lucas, D
在本文中，我们重点关注背景风险的存在-来自劳动力和企业家收入等来源-如何影响投资组合配置。这种相互作用是探讨在一个理论模型，使用截面数据从各种来源进行校准。该模型被证明是一致的，但不是所有方面的横截面观察的投资组合持有。本文还提供了广泛的理论和实证文献的投资组合选择的调查。
In this paper, we focus on how the presence of background risks - from sources such as labour and entrepreneurial income - influences portfolio allocations. This interaction is explored in a theoretical model that is calibrated using cross-sectional data from a variety of sources. The model is shown to be consistent with some but not all aspects of cross-sectional observations of portfolio holdings. The paper also provides a survey of the extensive theoretical and empirical literature on portfolio choice.