portfolio choice with jumps: A closed-form solution

Annals of Applied Probability

Volumn 19, Issue 2, 2009, Pages 556-584

  Aït Sahalia, Yacine ^a   Cacho Diaz, Julio ^a   Hurd, T R ^b  

^a PRINCETON UNIVERSITY   (United States)

^b MCMASTER UNIVERSITY   (Canada)

Author keywords

Closed form solution.; Factor models; Jumps; Merton problem; Optimal portfolio

Indexed keywords

EID: 66149158584     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/08-AAP552     Document Type: Article

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