Article2000

Portfolio Choice in the Presence of Background Risk

539 citations0/0 files storedThe Economic Journal

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Financial Markets and Investment Strategies Financial Literacy, Pension, Retirement Analysis Economic theories and models

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.

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