Portfolio choice with jumps: a closed-form solution

DOI10.1214/08-AAP552zbMath1170.91364arXiv0906.2324OpenAlexW3100740299MaRDI QIDQ1024892

T. R. Hurd, Yacine Aït-Sahalia, Julio Cacho-Diaz

Publication date: 17 June 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2324

zbMATH Keywords

jumpsclosed-form solutionoptimal portfoliofactor modelsMerton problem

Mathematics Subject Classification ID

Related Items (31)

ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT ⋮ Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ Increased correlation among asset classes: are volatility or jumps to blame, or both? ⋮ Consumption-investment problem with transaction costs for Lévy-driven price processes ⋮ Estimating jump-diffusions using closed-form likelihood expansions ⋮ On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability ⋮ Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets ⋮ Optimal investment of variance-swaps in jump-diffusion market with regime-switching ⋮ Optimal portfolios when variances and covariances can jump ⋮ Optimal control of investment, premium and deductible for a non-life insurance company ⋮ Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies ⋮ Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix ⋮ Dynamic optimal hedge ratio design when price and production are stochastic with jump ⋮ Resolution of Degeneracy in Merton's Portfolio Problem ⋮ Long-term dynamic asset allocation under asymmetric risk preferences ⋮ Testing for Jump Spillovers Without Testing for Jumps ⋮ A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL ⋮ Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets ⋮ m-Double Poisson Lévy markets ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Portfolio selection: a review ⋮ Partial information about contagion risk, self-exciting processes and portfolio optimization ⋮ Consuming durable goods when stock markets jump: a strategic asset allocation approach ⋮ Robust consumption and portfolio policies when asset prices can jump ⋮ Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models ⋮ Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach ⋮ The Value of Insight ⋮ Pandemic portfolio choice ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model ⋮ COMFORT: a common market factor non-Gaussian returns model

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal portfolio allocation with higher moments
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Optimum portfolio diversification in a general continuous-time model
• Optimal portfolios for exponential Lévy processes.
• Portfolio management with stable distributions
• The role of Hellinger processes in mathematical finance
• Optimal portfolios when stock prices follow an exponential Lévy process
• Equilibrium asset pricing: with non-Gaussian factors and exponential utilities

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