Abstract

  
 

Citations



 


 



Portfolio Choice in the Presence of Background Risk


Deborah J. Lucas


Northwestern University - Kellogg School of Management; National Bureau of Economic Research (NBER)

John Heaton


University of Chicago - Booth School of Business (Finance Authors)

Economic Journal, Vol. 110, P. 460, January 2000

Abstract:     
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.

JEL Classification: G19, F31

Accepted Paper Series


Date posted: January 22, 2001  

Suggested Citation

Lucas, Deborah J. and Heaton, John C, Portfolio Choice in the Presence of Background Risk. Economic Journal, Vol. 110, P. 460, January 2000. Available at SSRN: http://ssrn.com/abstract=233418

Contact Information

Deborah J. Lucas (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-8333 (Phone)
847-491-5719 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
John C Heaton
University of Chicago - Booth School of Business (Finance Authors) ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 945

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo3 in 0.313 seconds