Optimal portfolio and consumption under pure jump process

被引：0

作者：

Petrasek, Jakub ^{[1
]}

机构：

[1] Charles Univ Prague, Fac Math & Phys, Dept Probabil & Math Stat, Prague, Czech Republic

来源：

28TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2010, PTS I AND II | 2010年

关键词：

Optimal portfolio and consumption; pure jump process; higher moments;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The aim of this paper is to assess the impact of jumps in the asset returns dynamics on the optimal portfolio and consumption problem. We consider an investor who wants to maximize his utility from consumption and who is placing his money into stocks and a money market. His utility is given by a power utility function. In this paper, we present equations for the optimal consumption and portfolio choice. We also introduce an alternative equations for the optimal values in terms of cumulants. Using these new equations we discuss the effect of skewness and kurtosis on the optimal investment strategy and consumption. Finally, we perform a numerical study.

引用

页码：517 / 522

页数：6

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