AcademicsWorking Papers

update wp_papers set View_Count = View_Count + 1 WHERE p_id=1977
MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps
Chenghu Ma
#001977 20131014 (published) Views:2
This paper studies sequential portfolio choices by MPS-risk-averse investors in a continuous time jump-diffusion framework. It is shown that the optimal trading strategies for MPS risk averse investors, if they exist, must be located on a so-called ‘temporal efficient frontier’ (t.e.f.). Analytic and qualitative characterizations of the t.e.f. are provided and are shown to form a hyperbola in the μ-σ plane. This paper also provides insights on (i) dynamic consistency underlying those temporal efficient trading strategies; (ii) mutual fund separation in extending the classical notion of Tobin (1958) and Black (1972) to this continuous-time setting; (iii) risk decomposition in presence of Lévy jumps, and (iv) differences between MPS risk averse investors
JEL-Codes:
Keywords:


Download full text Downloads:2