Optimal Consumption and Investment with Levy Processes
AbstractThis paper study the intertemporal consumption and investment problem in a continuous time setting when the secutity prices follow a Geometric Levy Process. Using stochastic calculus for semimartingals we obtain sufficient conditions for the existence of optimal consump- tion and investment policies.
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1146.
Date of creation: 01 Aug 2000
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- José Santiago Fajardo Barbachan, 2003. "Optimal Consumption and Investment with Lévy Processes," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 57(4), pages 825-848, October.
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