Ascheberg, Marius; Branger, Nicole; Kraft, Holger - 2013 - This version: April 29, 2013
We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who … are below 1.16% if the jump size is stochastic and below 1% if the jump size is constant and ... 5. We perform robustness … checks for various levels of risk-aversion, expected jump size, and jump intensity. …