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
TypeDocument de travail / Working paper
External document linkhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2334072
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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  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 / KeywordsHJB equation; Dynamic equation; Consistent price systems; Transaction costs; Consumption-investment Problem
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De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel (2015-01) Article accepté pour publication ou publié