{"id":"https://openalex.org/W3203422277","doi":"https://doi.org/10.1137/21m1450161","title":"Merton's Optimal Investment Problem with Jump Signals","display_name":"Merton's Optimal Investment Problem with Jump Signals","publication_year":2022,"publication_date":"2022-10-13","ids":{"openalex":"https://openalex.org/W3203422277","doi":"https://doi.org/10.1137/21m1450161","mag":"3203422277"},"language":"en","primary_location":{"id":"doi:10.1137/21m1450161","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m1450161","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5026036747","display_name":"Peter Bank","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Peter Bank","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5086192519","display_name":"Laura K\u00f6rber","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Laura K\u00f6rber","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5026036747"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.0158,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.75608989,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"13","issue":"4","first_page":"1302","last_page":"1325"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.987500011920929,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.6240279674530029},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.5242213010787964},{"id":"https://openalex.org/keywords/quality","display_name":"Quality (philosophy)","score":0.4851608872413635},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.4730345904827118},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.468847393989563},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.46793028712272644},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.46179839968681335},{"id":"https://openalex.org/keywords/signal","display_name":"SIGNAL (programming language)","score":0.4450089633464813},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4136485457420349},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.41185083985328674},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3901524543762207},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3815850019454956},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3323633074760437},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1168106198310852}],"concepts":[{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.6240279674530029},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.5242213010787964},{"id":"https://openalex.org/C2779530757","wikidata":"https://www.wikidata.org/wiki/Q1207505","display_name":"Quality (philosophy)","level":2,"score":0.4851608872413635},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.4730345904827118},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.468847393989563},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.46793028712272644},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.46179839968681335},{"id":"https://openalex.org/C2779843651","wikidata":"https://www.wikidata.org/wiki/Q7390335","display_name":"SIGNAL (programming language)","level":2,"score":0.4450089633464813},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4136485457420349},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.41185083985328674},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3901524543762207},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3815850019454956},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3323633074760437},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1168106198310852},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/21m1450161","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m1450161","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5600000023841858,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"awards":[{"id":"https://openalex.org/G60923575","display_name":null,"funder_award_id":"IRTG 2544","funder_id":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft"}],"funders":[{"id":"https://openalex.org/F4320320879","display_name":"Deutsche Forschungsgemeinschaft","ror":"https://ror.org/018mejw64"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W204533568","https://openalex.org/W988004348","https://openalex.org/W1557270667","https://openalex.org/W2005158847","https://openalex.org/W2050031929","https://openalex.org/W2059850901","https://openalex.org/W2062433814","https://openalex.org/W2076424721","https://openalex.org/W2081877251","https://openalex.org/W2320684320","https://openalex.org/W3113204101","https://openalex.org/W3187425302","https://openalex.org/W4293092461","https://openalex.org/W4301385844"],"related_works":["https://openalex.org/W2351666715","https://openalex.org/W2757332726","https://openalex.org/W1967543778","https://openalex.org/W2382902960","https://openalex.org/W2369384937","https://openalex.org/W2793265400","https://openalex.org/W2352146386","https://openalex.org/W2057933140","https://openalex.org/W2029333469","https://openalex.org/W2380412954"],"abstract_inverted_index":{"This":[0],"paper":[1],"presents":[2],"a":[3,63,83],"new":[4],"framework":[5],"for":[6,20,59,71],"Merton's":[7],"optimal":[8],"investment":[9],"problem":[10,57],"which":[11],"uses":[12],"the":[13,25,56,96],"theory":[14],"of":[15,51],"Meyer":[16],"$\\sigma$-fields":[17],"to":[18,38,41,78,92,101],"allow":[19],"signals":[21],"that":[22,73],"possibly":[23],"warn":[24],"investor":[26,75],"about":[27],"impending":[28],"jumps.":[29],"With":[30],"strategies":[31],"no":[32],"longer":[33],"predictable,":[34],"some":[35],"care":[36],"has":[37],"be":[39,113],"taken":[40],"properly":[42],"define":[43],"wealth":[44],"dynamics":[45],"through":[46],"stochastic":[47],"integration.":[48],"By":[49],"means":[50],"dynamic":[52],"programming,":[53],"we":[54,69],"solve":[55],"explicitly":[58],"power":[60],"utilities.":[61],"In":[62],"case":[64],"study":[65],"with":[66],"Gaussian":[67],"jumps,":[68],"find,":[70],"instance,":[72],"an":[74],"may":[76],"prefer":[77],"disinvest":[79],"completely":[80],"even":[81],"after":[82],"mildly":[84],"positive":[85],"signal.":[86],"Our":[87],"setting":[88],"also":[89],"allows":[90],"us":[91],"investigate":[93],"whether,":[94],"given":[95],"chance,":[97],"it":[98],"is":[99],"better":[100],"improve":[102],"signal":[103],"quality":[104],"or":[105],"quantity":[106],"and":[107],"how":[108],"much":[109],"extra":[110],"value":[111],"can":[112],"generated":[114],"from":[115],"either":[116],"choice.":[117]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}