شماره ركورد كنفرانس :
4255
عنوان مقاله :
Optimal Portfolio Investment/Consumption in Pure-Jump Processes with Higher Moments: A New Approach
پديدآورندگان :
فروش باستاني علي bastani@iasbs.ac.ir هيات علمي , وهابي كمساري سامان s.vahabi@iasbs.ac.ir دانشجو , كاظمي سيد محمد مهدي smm.kazemi@aut.ac.ir دانشجو
كليدواژه :
Portfolio Investment , Consumption , Pure , Jump L\ {e}vy Processes , Higher Moments.
عنوان كنفرانس :
چهارمين همايش رياضيات و علوم انساني
چكيده فارسي :
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.
Some computational experiments are presented to confirm the theoretical findings in this paper.