Portfolio choice in the presence of background risk

被引：239

作者：

Heaton, J ^{[1
]}

Lucas, D

机构：

[1] Univ Chicago, Chicago, IL 60637 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Northwestern Univ, Evanston, IL 60208 USA

来源：

ECONOMIC JOURNAL | 2000年 / 110卷 / 460期

关键词：

D O I：

10.1111/1468-0297.00488

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：1 / 26

页数：26

共 66 条

[1]

[Anonymous], 1989, RISK AVERSION INTERT

[2] An equilibrium model with restricted stock market participation [J].