Browsing LIF-SAFE Working Papers by Author "Ascheberg, Marius"
Now showing items 1-1 of 1
When Do Jumps Matter for Portfolio Optimization? Ascheberg, Marius; Branger, Nicole; Kraft, Holger (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 ...