Robust consumption and portfolio policies when asset prices can jump
Year of publication: |
2019
|
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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 | CAPM | Konsumtheorie | Consumption theory | Stochastischer Prozess | Stochastic process | Nachfragetheorie des Haushalts | Consumer demand theory | Robustes Verfahren | Robust statistics |
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