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w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps

w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps This paper is on sequential portfolio choices by w-MPS risk averse investors in a continuous time jump-diffusion framework. The performance process is characterized as a solution to a partial differential and integro-equation, and the optimal portfolio holding is shown to belong to a newly derived ‘temporal efficient frontier’ (t.e.f.). Qualitative properties of the t.e.f. are studied, in addition to some interesting connections with the static instantaneous efficient frontier. The paper also sheds light on the difference between w-MPS risk averse investors and the expected utility investors concerning their trading bahaviour. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Risk and Decision Analysis iospress

w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps

Risk and Decision Analysis , Volume 2 (4) – Jan 1, 2011

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Publisher
IOS Press
Copyright
Copyright © 2011 by IOS Press, Inc
ISSN
1569-7371
eISSN
1875-9173
DOI
10.3233/RDA-2011-0043
Publisher site
See Article on Publisher Site

Abstract

This paper is on sequential portfolio choices by w-MPS risk averse investors in a continuous time jump-diffusion framework. The performance process is characterized as a solution to a partial differential and integro-equation, and the optimal portfolio holding is shown to belong to a newly derived ‘temporal efficient frontier’ (t.e.f.). Qualitative properties of the t.e.f. are studied, in addition to some interesting connections with the static instantaneous efficient frontier. The paper also sheds light on the difference between w-MPS risk averse investors and the expected utility investors concerning their trading bahaviour.

Journal

Risk and Decision Analysisiospress

Published: Jan 1, 2011

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