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Robust consumption and portfolio policies when asset prices can jump
Yacine Aït-Sahalia
, Felix Matthys
Economics
Bendheim Center for Finance
Center for Statistics & Machine Learning
Research output
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Contribution to journal
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Article
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peer-review
29
Scopus citations
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Keyphrases
Asset Prices
100%
Consumption Policy
100%
Portfolio Policy
100%
Size Parameter
50%
Allocation Problem
50%
Continuous-time
50%
Drift Rate
50%
Potential Model
50%
Jump Intensity
50%
Closed-form Formula
50%
Holding Strategy
50%
Portfolio Allocation
50%
Lvy Processes
50%
Optimal Portfolio
50%
Detection Error Probability
50%
Non-robust
50%
Optimal Consumption
50%
Model Misspecification
50%
Robust Policy
50%
Jump Height
50%
Semi-closed Form
50%
Portfolio Holdings
50%
Wealth Loss
50%
Economics, Econometrics and Finance
Investors
100%
Continuous Time
50%
Wealth
50%
Scientific Modelling
50%
Consumer Demand Theory
50%