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dc.contributor.authorQuoc, Tuan Tran*
dc.contributor.authorLépinette, Emmanuel*
dc.contributor.authorKabanov, Youri*
dc.date.accessioned2014-01-27T09:23:27Z
dc.date.available2014-01-27T09:23:27Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12511
dc.language.isoenen
dc.subjectHJB equationen
dc.subjectDynamic equationen
dc.subjectConsistent price systemsen
dc.subjectTransaction costsen
dc.subjectConsumption-investment Problemen
dc.subject.ddc332en
dc.subject.classificationjelG13en
dc.subject.classificationjelG11en
dc.titleConsumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costsen
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherUniversite de Franche-Comte;Russian Academy of Sciences (RAS) - Central Economics and Mathematics Institute;Russie
dc.description.abstractenWe 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.en
dc.publisher.nameUniversité Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages44en
dc.identifier.urlsitehttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=2334072en
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
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