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dc.contributor.authorFranke, Günteren_US
dc.contributor.authorSchlesinger, Harrisen_US
dc.contributor.authorStapleton, Richard C.en_US
dc.date.accessioned2009-09-16en_US
dc.date.accessioned2010-05-14T12:00:42Z-
dc.date.available2010-05-14T12:00:42Z-
dc.date.issued2007en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-116661-
dc.identifier.urihttp://hdl.handle.net/10419/32180-
dc.description.abstractWe examine the effects of non-portfolio risks on optimal portfolio choice. Examples of non-portfolio risks include, among others, uncertain labor income, uncertainty about the terminal value of fixed assets such as housing and uncertainty about future tax liabilities. In particular, while some of these risks are added to portfolio value and have been amply studied, others are multiplicative in nature and have received far less attention. Moreover, the combined effects of multiple risks lead to some seemingly paradoxical choice behavior. We rationalize such behavior and we show how non-portfolio risks might lead to seemingly U-shaped relative risk aversion for a representative investor, as found empirically by Ait-Sahilia and Lo (2000) and Jackwerth (2000).en_US
dc.language.isoengen_US
dc.publisherCoFE Konstanzen_US
dc.relation.ispartofseriesDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,11en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordPortfolio choiceen_US
dc.subject.keywordDerived relative risk aversionen_US
dc.subject.keywordAdditive background risken_US
dc.subject.keywordMultiplicative background risken_US
dc.titleNon-market wealth, background risk and portfolio choiceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn608931721en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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