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ArticleRobust Consumption and Portfolio Policies When Asset Prices Can Jump

Yacine Aı̈t-Sahalia2017

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Robust Consumption and Portfolio Policies When Asset Prices Can Jump

Yacine Aı̈t-Sahalia · Felix Matthys

52 citations·0/0 files stored·Journal of Economic Theory

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1989Maxmin expected utility with non-unique prior 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2005A Smooth Model of Decision Making under Ambiguity 2001Robust Control and Model Uncertainty 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

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2019Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity 2020Debt as a financial risk factor in SMEs in the Czech Republic 2022Robust consumption and portfolio choice with derivatives trading

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Year2017

Typearticle

Published2017-01-01

VenueJournal of Economic Theory

ISSN-L0022-0531

Languageen

Citations52

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jet.2018.09.006

openalex_workW2621281432

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