{Optimal Portfolio Investment/Consumption in Pure-Jump Processes with Higher Moments: A New Approach}
کد مقاله : 1153-FEMATH
سامان وهابی کمساری *1، علی فروش باستانی2، سیدمحمدمهدی کاظمی3
1دانشگاه تحصیلات تکمیلی زنجان
2عضو هیات علمی
3دانشجو/دانشگاه صنعتی امیرکبیر تهران
چکیده مقاله:
Continuous-time portfolio optimization in markets having realistic features is a challenging problem in computational finance. In this paper, we consider optimal portfolio investment-consumption problem in a market with a riskless bond and a single risky asset which is modeled by a pure jump L'{e}vy process. We extend the work presented in [J. Cvitani'{c}, V. Polimenis and F. Zapatero, Optimal portfolio allocation with higher moments, newblock {em Annals of Finance} 4 (2008) 1--28] first by incorporating a consumption component in this model and then presenting the analytic formulas for optimal portfolio allocation and consumption rate for investors having different utility functions including CRRA and CARA.n%We also have analyzed the effect of higher moments of the underlying L'{e}vy process on the composition of the optimal solution. Our results show that the wealth loss due to neglecting these higher moments is considerable.nSome computational experiments are presented to confirm the theoretical findings in this paper.
کلیدواژه ها:
Portfolio Investment/Consumption, Pure-Jump L'{e}vy Processes, Higher Moments.
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