Jumps in an stochastic optimization: self-financing portfolio for risk averse investors: does bequest matter?

References

• Bakshi , G. S. and Chen , Z. 1996 . The spirit of capitalism and stock-market prices . The American Economic Review , 86 : 133 – 57 .
   Web of Science ®Google Scholar
• Bertoin , J. 1996 . Levy Processes , Vol. 121 , Cambridge : Cambridge University Press . Cambridge Tracts in Mathematics
   Google Scholar
• Bjork , T. 1998 . Arbitrage Theory in Continuous Time , Oxford : Oxford University Press .
   Google Scholar
• Campbell , J. 1993 . Intertemporal asset pricing without consumption data . American Economic Review , 83 : 487
   Web of Science ®Google Scholar
• Campbell , J. Y. and Cochrane , J. H. 1999 . By force of habit: a consumption-based explanation of aggregate stock market behavior . Journal of Political Economy , 107 : 205 – 51 .
   Web of Science ®Google Scholar
• Carroll , C. D. 1997 . Buffer stock saving and the life cycle/permanent income hypothesis . Quarterly Journal of Economics , 107 : 1 – 56 .
   Web of Science ®Google Scholar
• Carroll, C. D. (2002) Lecture Notes on Solution Methods for Microeconomics Dynamic Stochastic Optimisation Problems, mimeo, John Hopkins University, Baltimore, MD. https://www.econ.jhu/People/CCarroll (https://www.econ.jhu/People/CCarroll) (Accessed: 30 October 2012 ).
   Google Scholar
• Daffie , D. 1996 . Dynamic Asset Pricing Theory , Princeton , NJ : Princeton University Press .
   Google Scholar
• Epstein , L. and Zin , S. 1989 . Substitution risk aversion and the temporal behavior of consumption and asset returns: a theoretical framework . Econometrica , 57 : 937 – 68 .
   Web of Science ®Google Scholar
• Gazioglu , S. and Bastiyali-Hafavi , A. 2010 . Stochastic optimization applied to self-financing portfolio: does bequest matter? . Applied Economics , 42 : 3821 – 38 .
   Google Scholar
• Hansen , L. P. and Jagannathan , R. 1991 . Implication of security market data for models of dynamic economics . Journal of Political Economy , 99 : 225 – 82 .
   Web of Science ®Google Scholar
• Hubbard , R. , Skinner , J. and Zeldes , S. P. “ Importance of precautionary motives for explaining individual and aggregate saving ” . In Carnegie-Rochester Conference Series on Public Policy Edited by: Meltzer , A. H. and Plosser , C. I. 59 – 125 . 1994Rochester University, Rochester, NY, Vol. 40
   Google Scholar
• Lattau , M. 1996 . Comment on ‘The Spirit of Capitalism and Stock-Market Prices’ Edited by: Bakshi , G. S. and Chen , Z. AER, 1996
   Google Scholar
• Lettau , M. and Ludvigson , S. C. Euler Equation Error . National Bureau of Economic Research Paper No. w11606. National Bureau of Economic Research Publications, Cambridge, MA . 2005 .
   Google Scholar
• Kocherlakota , N. R. 1990 . Disentangling the coefficient of relative risk aversion from the elasticith of intertemporal substitution: an irrelevance result . The Journal of Finance , XLV : 175 – 90 .
   Web of Science ®Google Scholar
• Merton , R. C. 1970 . Optimum consumption and portfolio rules in a continuous-time model . Journal of Economic Theory , 3 : 373 – 413 .
   Web of Science ®Google Scholar