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When Do Jumps Matter for Portfolio Optimization?
(2015-11-25)
We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ...
Life Insurance Demand under Health Shock Risk
(2015-06-03)
This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term ...