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Consumption-investment optimization problem in a Lévy financial model with transaction Costs

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Publication8_6_18.pdf (498.0Kb)
Date
2020
Dewey
Probabilités et mathématiques appliquées
Sujet
Consumption-investment Problem; Lévy process; Viscosity solution; Hamilton-Jacobi-Bellman equation; Transaction costs ·
JEL code
G.G1.G11; G.G1.G13
Journal issue
Mathematics and Financial Economics
Publication date
2020
Publisher
Springer
DOI
http://dx.doi.org/10.1007/s11579-020-00260-3
URI
https://basepub.dauphine.fr/handle/123456789/20702
Collections
  • CEREMADE : Publications
Metadata
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Author
Lépinette, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Tran, Tuan Quoc
35871 Laboratoire de Génie Electrique de Grenoble [G2ELab]
Type
Article accepté pour publication ou publié
Abstract (EN)
We consider the consumption-investment optimization problem for the financial market model with constant proportional transaction rates and Lévy price process dynamics. Contrarily to the recent work in [4], portfolio process trajectories are only left and right limited. This allows us to identify an optimal làdlàg strategy, e.g. in the two dimensional case, as it is possible to suitably rebalance the portfolio processes when they jump outside the no trade region of the solvency cone.

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