Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32180 
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dc.contributor.authorFranke, Günteren
dc.contributor.authorSchlesinger, Harrisen
dc.contributor.authorStapleton, Richard C.en
dc.date.accessioned2009-09-16-
dc.date.accessioned2010-05-14T12:00:42Z-
dc.date.available2010-05-14T12:00:42Z-
dc.date.issued2007-
dc.identifier.piurn:nbn:de:bsz:352-opus-116661en
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
dc.language.isoengen
dc.publisher|aUniversity of Konstanz, Center of Finance and Econometrics (CoFE) |cKonstanzen
dc.relation.ispartofseries|aCoFE Discussion Paper |x07/11en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordPortfolio choiceen
dc.subject.keywordDerived relative risk aversionen
dc.subject.keywordAdditive background risken
dc.subject.keywordMultiplicative background risken
dc.titleNon-market wealth, background risk and portfolio choice-
dc.type|aWorking Paperen
dc.identifier.ppn608931721en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cofedp:0711-

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