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Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs

Quoc, Tuan Tran; Lépinette, Emmanuel; Kabanov, Youri (2013), Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs. https://basepub.dauphine.fr/handle/123456789/12511

Type
Document de travail / Working paper
External document link
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2334072
Date
2013
Publisher
Université Paris-Dauphine
Published in
Paris
Pages
44
Metadata
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Author(s)
Quoc, Tuan Tran

Lépinette, Emmanuel

Kabanov, Youri
Abstract (EN)
We consider a consumption-investment optimization problem for the Kabanov model when the proportional transaction costs rate is constant and the prices are modeled by a Lévy process. We naturally extend the preliminary work of [4] to portfolio processes that are only supposed to be làdlàg. This allows to suitably rebalance portfolio processes which jumps induced by the Lévy process and identify an optimal strategy in the two dimensional case.
Subjects / Keywords
HJB equation; Dynamic equation; Consistent price systems; Transaction costs; Consumption-investment Problem
JEL
G13 - Contingent Pricing; Futures Pricing
G11 - Portfolio Choice; Investment Decisions