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 paperLien vers un document non conservé dans cette base
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2334072Date
2013Éditeur
Université Paris-Dauphine
Ville d’édition
Paris
Pages
44
Métadonnées
Afficher la notice complèteRésumé (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.Mots-clés
HJB equation; Dynamic equation; Consistent price systems; Transaction costs; Consumption-investment ProblemPublications associées
Affichage des éléments liés par titre et auteur.
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Lépinette, Emmanuel; Tran, Tuan Quoc (2020) Article accepté pour publication ou publié
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De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel (2015-01) Article accepté pour publication ou publié
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Quoc, Tuan Tran; Lépinette, Emmanuel (2014) Article accepté pour publication ou publié
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Tran, Quoc Tuan (2014-10) Thèse
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Lépinette, Emmanuel; Kabanov, Yuri (2012) Article accepté pour publication ou publié