
Browsing LIF-SAFE Working Papers by Author "Ascheberg, Marius"
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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 ...