Portfolio choice with jumps: a closed-form solution
From MaRDI portal
Publication:1024892
DOI10.1214/08-AAP552zbMATH Open1170.91364arXiv0906.2324OpenAlexW3100740299MaRDI QIDQ1024892FDOQ1024892
Authors: Yacine Aït-Sahalia, Julio Cacho-Diaz, T. R. Hurd 
Publication date: 17 June 2009
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0906.2324
Recommendations
- scientific article; zbMATH DE number 1487901
- Portfolio problems based on jump-diffusion models
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- Co-jumps and recursive preferences in portfolio choices
- When do jumps matter for portfolio optimization?
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal portfolios when stock prices follow an exponential Lévy process
- The role of Hellinger processes in mathematical finance
- Optimal portfolio allocation with higher moments
- Optimum portfolio diversification in a general continuous-time model
- Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Optimal portfolios for exponential Lévy processes.
- Portfolio management with stable distributions
Cited In (38)
- Consuming durable goods when stock markets jump: a strategic asset allocation approach
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
- Increased correlation among asset classes: are volatility or jumps to blame, or both?
- Optimal portfolios when variances and covariances can jump
- The value of insight
- COMFORT: a common market factor non-Gaussian returns model
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- Resolution of degeneracy in Merton's portfolio problem
- m-Double Poisson Lévy markets
- Jump-diffusion international asset allocation
- Robust portfolio choice and indifference valuation
- Title not available (Why is that?)
- Estimating jump-diffusions using closed-form likelihood expansions
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching
- Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- Intertemporal surplus management with jump risks
- Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach
- Optimal control of investment, premium and deductible for a non-life insurance company
- Consumption-investment problem with transaction costs for Lévy-driven price processes
- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- Testing for jump spillovers without testing for jumps
- Dynamic optimal hedge ratio design when price and production are stochastic with jump
- Robust consumption and portfolio policies when asset prices can jump
- Long-term dynamic asset allocation under asymmetric risk preferences
- 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
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
- When do jumps matter for portfolio optimization?
- Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
- Pandemic portfolio choice
- Portfolio selection: a review
- Partial information about contagion risk, self-exciting processes and portfolio optimization
This page was built for publication: Portfolio choice with jumps: a closed-form solution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1024892)
