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Article Dans Une Revue Mathematics and Financial Economics Année : 2020

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

Résumé

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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hal-00931665 , version 1 (31-08-2018)

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  • HAL Id : hal-00931665 , version 1

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Emmanuel Lépinette, Tuan Quoc Tran. Consumption-investment optimization problem in a Lévy financial model with transaction Costs and ladle strategies. Mathematics and Financial Economics, 2020, 14. ⟨hal-00931665⟩
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