摘要翻译：
在一类资产价格服从相互激励的跳跃过程的多维跳跃扩散模型中，研究了最优投资和消费问题。这捕捉到了一种传染病，即资产价格的每一次向下跃升都会导致该资产和其他资产进一步跃升的可能性增加。在这种传染模型中，我们用封闭形式求解了对数效用投资者的动态消费-投资问题，证明了其最优性的一个定理，并讨论了解的性质，包括向质量飞行。本文还考虑了指数效用和幂效用投资者：在这些情况下，最优策略可以描述为相应的非传染投资者的策略的扭曲。
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英文标题：
《Portfolio Choice in Markets with Contagion》
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作者：
Yacine A\"it-Sahalia and T. R. Hurd
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward jump in an asset's price results in increased likelihood of further jumps, both in that asset and in the other assets. We solve in closed-form the dynamic consumption-investment problem of a log-utility investor in such a contagion model, prove a theorem verifying its optimality and discuss features of the solution, including flight-to-quality. The exponential and power utility investors are also considered: in these cases, the optimal strategy can be characterized as a distortion of the strategy of a corresponding non-contagion investor.
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PDF链接：
https://arxiv.org/pdf/1210.1598