Optimal Risk Taking with Flexible Income

We study the portfolio selection problem of an investor who can optimally exert costly effort for more income. The possibility of generating more income, if necessary, increases the risk-taking appetite of the investor. We find the optimal allocation to the risky security as a proportion of financia...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Management science 2007-10, Vol.53 (10), p.1594-1603
Hauptverfasser:	Cvitanic, Jaksa, Goukasian, Levon, Zapatero, Fernando
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Decision theory. Utility theory Evaluation Exact sciences and technology Financial portfolios Financial risks Financial securities Human capital Income intertemporal consumption Investment analysis Investment horizon Investment risk Investment strategies Investors Management science Mathematical statistics Operational research and scientific management Operational research. Management science optimal effort optimal portfolio selection Portfolio investments Portfolio management Portfolio selection Portfolio theory Risk aversion Risk management Risk taking Securities Studies Utility maximization Wealth
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!