This paper extends (Jiang et al. in J Bank Finance 34:3055–3060, 2010; Guo in Risk Manag 20 (1):77–94, 2018) and others by investigating the impact of background risk on an investor’s portfolio choice ...

Specifically this paper concentrates on the interaction of structural breaks in the mean and variance of a time series when either of the two is omitted from the estimation and inference procedures.