Journal
ECONOMIC JOURNAL
Volume 110, Issue 460, Pages 1-26Publisher
BLACKWELL PUBL LTD
DOI: 10.1111/1468-0297.00488
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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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