Consuming durable goods when stock markets jump: a strategic asset allocation approach
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Recommendations
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Cites work
- scientific article; zbMATH DE number 53999 (Why is no real title available?)
- A unified approach to portfolio optimization with linear transaction costs
- An empirical examination of jump risk in U.S. equity and bond markets
- Applied stochastic control of jump diffusions.
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- Do option markets correctly price the probabilities of movement of the underlying asset?
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Dynamic portfolio selection with nonlinear transaction costs
- Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
- On an Investment-Consumption Model with Transaction Costs
- Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- Optimal consumption of a divisible durable good
- Optimal housing, consumption, and investment decisions over the life cycle
- Optimal investment and consumption with transaction costs
- Portfolio Selection with Transaction Costs
- Portfolio choice with jumps: a closed-form solution
- Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
- User’s guide to viscosity solutions of second order partial differential equations
- When do jumps matter for portfolio optimization?
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