Portfolio choice with jumps: a closed-form solution
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Abstract: We analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks. We bring new tools, in the form of orthogonal decompositions, to bear on the problem in order to determine the optimal portfolio in closed form. We show that the optimal policy is for the investor to focus on controlling his exposure to the jump risk, while exploiting differences in the Brownian risk of the asset returns that lies in the orthogonal space.
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Cited in
(38)- Optimal control of investment, premium and deductible for a non-life insurance company
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- Consumption-investment problem with transaction costs for Lévy-driven price processes
- Portfolio selection: a review
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
- Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
- COMFORT: a common market factor non-Gaussian returns model
- Robust consumption and portfolio policies when asset prices can jump
- Long-term dynamic asset allocation under asymmetric risk preferences
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- Pandemic portfolio choice
- Consuming durable goods when stock markets jump: a strategic asset allocation approach
- Brief synopsis of the scientific career of T. R. Hurd
- Financial finance
- A note on a new approach to both price and volatility jumps: an application to the portfolio model
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching
- When do jumps matter for portfolio optimization?
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
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- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
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- The value of insight
- Partial information about contagion risk, self-exciting processes and portfolio optimization
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
- scientific article; zbMATH DE number 5008178 (Why is no real title available?)
- Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach
- Dynamic optimal hedge ratio design when price and production are stochastic with jump
- Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
- m-Double Poisson Lévy markets
- Resolution of degeneracy in Merton's portfolio problem
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