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Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

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  • Framstad, Nils Chr.
  • Oksendal, Bernt
  • Sulem, Agnes

Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VBY-42YFB5V-5/2/1c5d9b1ae9f44093403507e60335eb8b
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 35 (2001)
Issue (Month): 2 (April)
Pages: 233-257

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Handle: RePEc:eee:mateco:v:35:y:2001:i:2:p:233-257

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. Aase, Knut Kristian, 1984. "Optimum portfolio diversification in a general continuous-time model," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 81-98, September.
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Citations

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Cited by:
  1. Sennewald, Ken, 2007. "Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1106-1131, April.
  2. Keppo, Jussi & Kofman, Leonard & Meng, Xu, 2010. "Unintended consequences of the market risk requirement in banking regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2192-2214, October.
  3. Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Computational Statistics, Springer, vol. 76(1), pages 21-41, August.
  4. Sennewald, Ken & Wälde, Klaus, 2005. ""Itô's Lemma" and the Bellman equation: An applied view," Dresden Discussion Paper Series in Economics 04/05, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  5. Ken Sennewald & Klaus Wälde, 2006. "“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View," Journal of Economics, Springer, vol. 89(1), pages 1-36, October.
  6. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  7. Fernando Durrell, 2006. "Optimum Constrained Portfolio Rules in a Diffusion Market," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 285-307.
  8. Duc PHAM-HI, 2005. "Operational risk management and new computational needs in banks," Computing in Economics and Finance 2005 355, Society for Computational Economics.
  9. Jouini, Elyès, 2001. "Arbitrage and control problems in finance: A presentation," Economics Papers from University Paris Dauphine 123456789/5590, Paris Dauphine University.
  10. Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
  11. Sennewald, Ken, 2005. "Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility," Dresden Discussion Paper Series in Economics 03/05, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  12. Valeri Zakamouline, 2004. "A Unified Approach to Portfolio Optimization with Linear Transaction Costs," GE, Growth, Math methods 0404003, EconWPA, revised 21 Apr 2004.
  13. Dai, Min & Wang, Hefei & Yang, Zhou, 2012. "Leverage management in a bull–bear switching market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1585-1599.

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