Abstract

http://ssrn.com/abstract=233418
 
 

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 - Finance


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





Not Available For Download

Date posted: January 22, 2001  

Suggested Citation

Lucas, Deborah J. and Heaton, John, 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 - Finance ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,091

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.406 seconds