Robust consumption and portfolio policies when asset prices can jump

Keyphrases

• Allocation Problem 50%
• Asset Prices 100%
• Closed-form Formula 50%
• Consumption Policy 100%
• Continuous-time 50%
• Detection Error Probability 50%
• Drift Rate 50%
• Holding Strategy 50%
• Jump Height 50%
• Jump Intensity 50%
• Lvy Processes 50%
• Model Misspecification 50%
• Non-robust 50%
• Optimal Consumption 50%
• Optimal Portfolio 50%
• Portfolio Allocation 50%
• Portfolio Holdings 50%
• Portfolio Policy 100%
• Potential Model 50%
• Robust Policy 50%
• Semi-closed Form 50%
• Size Parameter 50%
• Wealth Loss 50%

Economics, Econometrics and Finance

• Consumer Demand Theory 50%
• Continuous Time 50%
• Investors 100%
• Scientific Modelling 50%
• Wealth 50%