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- W1505119774 abstract "In this paper we present two dynamic models of background risk. We first present a stochastic factor model with an additive background risk. Thereafter, we present a dynamic model of simultaneous (correlated) multiplicative background risk and additive background risk. In so doing, we use a general utility function." @default.
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- W1505119774 date "2012-01-01" @default.
- W1505119774 modified "2023-10-05" @default.
- W1505119774 title "A General Optimal Investment Model in the Presence of Background Risk" @default.
- W1505119774 doi "https://doi.org/10.2139/ssrn.2131765" @default.
- W1505119774 hasPublicationYear "2012" @default.
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