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Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility
2011
Social Science Research Network
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with logtruncated-double-exponential jump-amplitude distribution in returns and exponential jumpamplitude distribution in volatility for the optimal portfolio problem. Although unlimited borrowing and short-selling play an important role
doi:10.2139/ssrn.1874872
fatcat:4oh3ujsjsngbtlhyo337zsjvay