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When Do Jumps Matter for Portfolio Optimization?
(2015-11-25)
We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a ...
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(2013-04-18)
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...
Peer Effects and Risk Sharing in Experimental Asset Markets
(2015-02-02)
Previous research has documented strong peer effects in risk taking, but little is known about how such social influences affect market outcomes. Since the consequences of social interactions are hard to isolate in financial ...