Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting

  • Bian B
  • Chen X
  • Zeng X
N/ACitations
Citations of this article
6Readers
Mendeley users who have this article in their library.

Abstract

We solve the optimal portfolio choice problem for an investor who can trade a risk-free asset and a risky asset. The investor faces both Brownian and jump risks and the jump is modeled by a Hawkes process so that occurrence of a jump in the risky asset price triggers more sequent jumps. We obtain the optimal portfolio by maximizing expectation of a constant relative risk aversion (CRRA) utility function of terminal wealth. The existence and uniqueness of a classical solution to the associated partial differential equation are proved, and the corresponding verification theorem is provided as well. Based on the theoretical results, we develop a numerical monotonic iteration algorithm and present an illustrative numerical example.

Cite

CITATION STYLE

APA

Bian, B., Chen, X., & Zeng, X. (2019). Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting. Journal of Mathematical Finance, 09(03), 345–367. https://doi.org/10.4236/jmf.2019.93020

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free