591 citations · 1.4k across the 10 of their papers we have counts for
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math.PR2009★ 109 cited
Portfolio choice with jumps: A closed-form solution
Yacine Aït-Sahalia, Julio Cacho-Diaz, T. R. Hurd
We analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks. We bring new tools, in the form of orthogonal decompositions, to bear on…
math.PR2004★ 5 cited
Fisher's Information for Discretely Sampled Levy Processes
Yacine Ait-Sahalia, Jean Jacod
This paper studies the asymptotic behavior of the Fisher information for a Levy process discretely sampled at an increasing frequency. We show that it is possible to distinguish no…