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

Quoc, Tuan Tran; Lépinette, Emmanuel; Kabanov, Youri

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

Lien vers un document non conservé dans cette base

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2334072

Date

2013

Éditeur

Université Paris-Dauphine

Ville d’édition

Paris

Métadonnées

Afficher la notice complète

Auteur(s)

Quoc, Tuan Tran

Lépinette, Emmanuel

Kabanov, Youri

Résumé (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 Problem

JEL

G13 - Contingent Pricing; Futures Pricing
G11 - Portfolio Choice; Investment Decisions