Article ID Journal Published Year Pages File Type
5089604 Journal of Banking & Finance 2012 13 Pages PDF
Abstract
► Our model considers an investor who has mental accounts and faces background risk. ► We characterize optimal portfolios within accounts and the aggregate portfolio. ► We show that such portfolios generally lie away from the mean-variance frontier. ► Our results contrast with those in the absence of background risk.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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