A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
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Publication:3523596
heavy tailsviscosity solutionintegro-differential equationnormal inverse Gaussian distributionclosed form solutionHamilton--Jacobi--Bellman equationMerton's problemoptimal portfolio and consumptionLévy processes
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Cites work
- Optimal Consumption and Portfolio Rules with Durability and Local Substitution
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
- Optimal portfolios for exponential Lévy processes.
- Processes of normal inverse Gaussian type
- Semimartingale representation of fractional Riesz-Bessel motion
- Term structure models driven by general Lévy processes
- The normal inverse gaussian lévy process: simulation and approximation
Cited in
(5)- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Representative agent pricing of financial assets based on Lévy processes with normal inverse Gaussian marginals
- Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
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