کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088367 1478315 2015 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Portfolio optimisation with jumps: Illustration with a pension accumulation scheme
ترجمه فارسی عنوان
بهینه سازی نمونه کارها با جهش: تصویر با طرح انباشت بازنشستگی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper, we address portfolio optimisation when stock prices follow general Lévy processes in the context of a pension accumulation scheme. The optimal portfolio weights are obtained in quasi-closed form and the optimal consumption in closed form. To solve the optimisation problem, we show how to switch back and forth between the stochastic differential and standard exponentials of the Lévy processes. We apply this procedure to both the Variance Gamma process and a Lévy process whose arrival rate of jumps exponentially decreases with size. We show through a numerical example that when jumps, and therefore asymmetry and leptokurtosis, are suitably taken into account, then the optimal portfolio share of the risky asset is around half that obtained in the Gaussian framework.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 60, November 2015, Pages 127-137
نویسندگان
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