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

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel*
hal.structure.identifierLaboratoire de Génie Electrique de Grenoble [G2ELab]
dc.contributor.authorTran, Tuan Quoc*
dc.date.accessioned2020-05-06T13:12:27Z
dc.date.available2020-05-06T13:12:27Z
dc.date.issued2020
dc.identifier.issn1862-9679
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20702
dc.language.isoenen
dc.subjectConsumption-investment Problem
dc.subjectLévy process
dc.subjectViscosity solution
dc.subjectHamilton-Jacobi-Bellman equation
dc.subjectTransaction costs ·
dc.subject.ddc519en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G13en
dc.titleConsumption-investment optimization problem in a Lévy financial model with transaction Costs
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.
dc.relation.isversionofjnlnameMathematics and Financial Economics
dc.relation.isversionofjnldate2020
dc.relation.isversionofdoi10.1007/s11579-020-00260-3
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2020-11-02T10:15:28Z
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