PORTFOLIO CHOICE WITH JUMPS: A CLOSED-FORM SOLUTION

被引：65

作者：

Ait-Sahalia, Yacine ^{[1
,2
]}

Cacho-Diaz, Julio ^{[1
]}

Hurd, T. R. ^{[3
]}

机构：

[1] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA

[2] NBER, Princeton, NJ 08544 USA

[3] McMaster Univ, Dept Math & Stat, Hamilton, ON L8S 4K1, Canada

来源：

ANNALS OF APPLIED PROBABILITY | 2009年 / 19卷 / 02期

基金：

加拿大自然科学与工程研究理事会; 美国国家科学基金会;

关键词：

Optimal portfolio; jumps; Merton problem; factor models; closed-form solution; CONTINUOUS-TIME MODEL; ASSET ALLOCATION; DIVERSIFICATION; RETURNS; PRICES; RISK;

D O I：

10.1214/08-AAP552

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks. We bring new tools, in the form of orthogonal decompositions, to bear on the problem in order to determine the optimal portfolio in closed form. We show that the optimal policy is for the investor to focus on controlling his exposure to the jump risk, while exploiting differences in the Brownian risk of the asset returns that lies in the orthogonal space.

引用

页码：556 / 584

页数：29

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