Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089604 | Journal of Banking & Finance | 2012 | 13 Pages |
Abstract
⺠Our model considers an investor who has mental accounts and faces background risk. ⺠We characterize optimal portfolios within accounts and the aggregate portfolio. ⺠We show that such portfolios generally lie away from the mean-variance frontier. ⺠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
Alexandre M. Baptista,