Guo, Xu and Wong, WingKeung and Zhu, Lixing (2013): Twomoment decision model for locationscale family with background asset.

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Abstract
This paper studies the impact of background risk on the indifference curve. We first study the shape of the indifference curves for the investment with background risk for risk averters, risk seekers, and riskneutral investors. Thereafter, we study the comparative statics of the change in the shapes of the indifference curves when the means and the standard deviations of the returns of the financial asset and/or the background asset change. In addition, we draw inference on risk vulnerability and investment decisions in financial crises and bull and bear markets.
Item Type:  MPRA Paper 

Original Title:  Twomoment decision model for locationscale family with background asset 
Language:  English 
Keywords:  Meanvariance model, indifference curve, locationscale family, background risk, utility function, risk aversion, risk seeking 
Subjects:  G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions D  Microeconomics > D8  Information, Knowledge, and Uncertainty > D81  Criteria for DecisionMaking under Risk and Uncertainty C  Mathematical and Quantitative Methods > C0  General 
Item ID:  43864 
Depositing User:  WingKeung Wong 
Date Deposited:  18 Jan 2013 16:38 
Last Modified:  30 Sep 2019 08:01 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/43864 