Robust consumption and portfolio policies when asset prices can jump
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Publication:1757535
DOI10.1016/j.jet.2018.09.006zbMath1419.91574OpenAlexW2621281432MaRDI QIDQ1757535
Yacine Aït-Sahalia, Felix Matthys
Publication date: 15 January 2019
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jet.2018.09.006
Processes with independent increments; Lévy processes (60G51) Sensitivity (robustness) (93B35) Portfolio theory (91G10)
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