Robust consumption and portfolio policies when asset prices can jump
Yacine Aït-Sahalia, Felix Matthys
| Year of publication: |
2019
|
|---|---|
| Authors: | Aït-Sahalia, Yacine ; Matthys, Felix |
| Published in: |
Journal of economic theory. - Amsterdam : Elsevier, ISSN 0022-0531, ZDB-ID 410539-4. - Vol. 179.2019, p. 1-56
|
| Subject: | Lévy processes | Robust control | Jumps | Optimal consumption and portfolio selection | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | CAPM | Konsumtheorie | Consumption theory | Nachfragetheorie des Haushalts | Consumer demand theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jet.2018.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012131456