Robust consumption and portfolio choice with derivatives trading
This paper analyzes the optimal consumption and portfolio choice problem for an ambiguity-averse investor with recursive preferences. The investor has access to both the stock and derivatives markets. The stock price process follows a stochastic volatility jump-diffusion model and the investor can h...
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Main Authors: | Wei, Pengyu, Yang, Charles, Zhuang, Yi |
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Other Authors: | Nanyang Business School |
Format: | Article |
Language: | English |
Published: |
2022
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Subjects: | |
Online Access: | https://hdl.handle.net/10356/161688 |
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Institution: | Nanyang Technological University |
Language: | English |
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