Branger, Nicole; Hansis, Alexandra - In: Journal of Banking & Finance 36 (2012) 7, pp. 1865-1882
This paper analyzes the optimal portfolio decision of a CRRA investor in models with stochastic volatility and stochastic jumps. The investor follows a buy-and-hold strategy in the stock, the money market account, and one additional derivative. We show that both the type of the model and the...