Amaro de Matos, João; Silva, Nuno - In: Journal of Economic Dynamics and Control 42 (2014) C, pp. 86-104
In this paper we show the impact of considering jumps in the return process of risky assets when deciding how to invest and consume throughout time. Agents derive their utilities from consumption over time. We consider an agent that invests in the financial market and in durable and perishable...