PORTFOLIO CHOICE WITH JUMPS: A CLOSED-FORM SOLUTION

• 成果类型: Article
• 署名作者: Ait-Sahalia, Yacine; Cacho-Diaz, Julio; Hurd, T. R.
• 署名单位: Princeton University; National Bureau of Economic Research; McMaster University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/08-AAP552
• 发表日期: 2009
• 页码: 556-584
• 关键词: continuous-time model; asset allocation; diversification; returns; prices; RISK

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.