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 paperExternal document link
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2334072Date
2013Publisher
Université Paris-Dauphine
Published in
Paris
Pages
44
Metadata
Show full item recordAbstract (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 ProblemRelated items
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