Consuming durable goods when stock markets jump: a strategic asset allocation approach
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Publication:1994529
DOI10.1016/J.JEDC.2014.02.013zbMATH Open1402.91661OpenAlexW2024025902MaRDI QIDQ1994529FDOQ1994529
Authors: João Amaro de Matos, Nuno Silva 
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10316/44018
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jumpsoptimal investmentfinancial marketsstrategic asset allocationdurable consumption goodsperishable consumption goods
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- On an Investment-Consumption Model with Transaction Costs
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- A unified approach to portfolio optimization with linear transaction costs
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- Optimal consumption of a divisible durable good
- An empirical examination of jump risk in U.S. equity and bond markets
- Optimal housing, consumption, and investment decisions over the life cycle
- Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- When do jumps matter for portfolio optimization?
- Dynamic portfolio selection with nonlinear transaction costs
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