An Analysis of Portfolio Selection with Background Risk
An Analysis of Portfolio Selection with Background Risk
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DOI：
10.2139/ssrn.1497017
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发表时间：
2009-10
期刊：
影响因子：
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通讯作者：
Chonghui Jiang;Yongkai Ma;Yunbi An
中科院分区：
文献类型：
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作者：
Chonghui Jiang;Yongkai Ma;Yunbi An
本文在均值-方差框架下考察了背景风险对投资者投资组合选择的影响，分析了有效投资组合的性质以及投资者在存在背景风险时的套期保值行为。我们的模型表明，具有背景风险的有效投资组合可以分为两个独立的组成部分：传统的均值-方差有效投资组合，以及为对冲背景风险而构建的自筹资金成分。我们的分析还表明，背景风险的存在使金融资产的有效前沿向右移动，其形状没有变化。此外，对冲组合的构成和有效前沿的位置都受到许多背景风险因素的很大影响，包括背景资产在总财富中的比例以及背景风险与金融风险之间的相关性。
This paper investigates the impact of background risk on an investor's portfolio choice in a mean-variance framework, and analyzes the properties of efficient portfolios as well as the investor's hedging behaviour in the presence of background risk. Our model implies that the efficient portfolio with background risk can be separated into two independent components: the traditional mean-variance efficient portfolio, and a self-financing component constructed to hedge against background risk. Our analysis also shows that the presence of background risk shifts the efficient frontier of financial assets to the right with no changes in its shape. Moreover, both the composition of the hedge portfolio and the location of the efficient frontier are greatly affected by a number of background risk factors, including the proportion of background assets in total wealth and the correlation between background risk and financial risk.