| dc.contributor.author | Quoc, Tuan Tran | * |
| dc.contributor.author | Lépinette, Emmanuel | * |
| dc.contributor.author | Kabanov, Youri | * |
| dc.date.accessioned | 2014-01-27T09:23:27Z | |
| dc.date.available | 2014-01-27T09:23:27Z | |
| dc.date.issued | 2013 | |
| dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/12511 | |
| dc.language.iso | en | en |
| dc.subject | HJB equation | en |
| dc.subject | Dynamic equation | en |
| dc.subject | Consistent price systems | en |
| dc.subject | Transaction costs | en |
| dc.subject | Consumption-investment Problem | en |
| dc.subject.ddc | 332 | en |
| dc.subject.classificationjel | G13 | en |
| dc.subject.classificationjel | G11 | en |
| dc.title | Consumption-Investment Optimization Problem in a Lévy Financial Model with Transaction Costs | en |
| dc.type | Document de travail / Working paper | |
| dc.contributor.editoruniversityother | Universite de Franche-Comte;Russian Academy of Sciences (RAS) - Central Economics and Mathematics Institute;Russie | |
| dc.description.abstracten | 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. | en |
| dc.publisher.name | Université Paris-Dauphine | en |
| dc.publisher.city | Paris | en |
| dc.identifier.citationpages | 44 | en |
| dc.identifier.urlsite | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2334072 | en |
| dc.subject.ddclabel | Economie financière | en |
| dc.description.submitted | non | en |
| hal.person.labIds | | * |
| hal.person.labIds | | * |
| hal.person.labIds | | * |
