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The Effect of Asset Price Jumps on Consumption and Investment Decisions

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dc.contributor.author Daglish, Toby
dc.date.accessioned 2015-02-11T21:39:11Z
dc.date.accessioned 2022-07-07T02:06:30Z
dc.date.available 2015-02-11T21:39:11Z
dc.date.available 2022-07-07T02:06:30Z
dc.date.copyright 1/06/2008
dc.date.issued 2008
dc.identifier.uri https://ir.wgtn.ac.nz/handle/123456789/19107
dc.description.abstract This paper examines the importance of jumps in asset prices for investment problems potentially incorporating consumption decisions. We present a technique for solving investment-consumption problems when asset prices jump. We also demonstrate how to quantify utility losses using an "optimal fee" approach - measuring how much a portfolio advisor could charge an investor to provide them with the new investment technology. As an application we consider empirically plausible models for the S&P 500 index. We conclude that while there are some moderate differences in optimal investment behaviour once jumps are accounted for the actual utility loss in economic terms is very low. en_NZ
dc.format pdf en_NZ
dc.language.iso en_NZ
dc.publisher Te Herenga Waka—Victoria University of Wellington en_NZ
dc.rights Permission to publish research outputs of the New Zealand Institute for the Study of Competition and Regulation has been granted to the Victoria University of Wellington Library. Refer to the permission letter in record: https://ir.wgtn.ac.nz/handle/123456789/18870 en_NZ
dc.subject asset pricing en_NZ
dc.subject investment decisions en_NZ
dc.title The Effect of Asset Price Jumps on Consumption and Investment Decisions en_NZ
dc.type Text en_NZ
vuwschema.contributor.unit New Zealand Institute for the Study of Competition and Regulation en_NZ
vuwschema.contributor.unit Victoria Business School: Orauariki en_NZ
vuwschema.subject.anzsrcfor 149999 Economics not elsewhere classified en_NZ
vuwschema.type.vuw Working or Occasional Paper en_NZ
vuwschema.subject.anzsrcforV2 389999 Other economics not elsewhere classified en_NZ


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