Robust consumption and portfolio policies when asset prices can jump

• 成果类型: Article
• 署名作者: Ait-Sahalia, Yacine; Matthys, Felix
• 署名单位: Princeton University; National Bureau of Economic Research; Instituto Tecnologico Autonomo de Mexico
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2018.09.006
• 发表日期: 2019
• 页码: 1-56
• 关键词: Optimal consumption and portfolio selection; jumps; Levy processes; Robust control

摘要

We study the consumption-portfolio allocation problem in continuous time when asset prices follow Levy processes and the investor is concerned about potential model misspecification. We derive optimal consumption and portfolio policies that are robust to uncertainty about the hard-to-estimate drift rate, jump intensity and jump size parameters. We also provide a semi-closed form formula for the detection-error probability and compare various portfolio holding strategies, including robust and non-robust policies. Our quantitative analysis shows that ignoring uncertainty leads to significant wealth loss for the investor. (C) 2018 Elsevier Inc. All rights reserved.