Optimal consumption and portfolio policies with jump events

被引:0
|
作者
Li, HY
机构
来源
PROCEEDINGS OF 2002 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS I AND II | 2002年
关键词
Poisson process; Brownian motion process; dynamic programming; risk-aversion utility;
D O I
暂无
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
While the volatility of portfolios are often modeled by continuous Geometric Brownian motion processes, discontinuous jump processes are more appropriate for modeling important external events that significantly affect the prices of financial asset. So, we use the mixed Poisson-Brownian information to model the sample path of financial asset, and get the optimal consumption and portfolio under the constant risk-aversion expected utilities by dynamic programming.
引用
收藏
页码:1526 / 1529
页数:4
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