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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

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File URL: http://www.sciencedirect.com/science/article/B6VBY-42YFB5V-5/2/1c5d9b1ae9f44093403507e60335eb8b
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

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  1. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
  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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Cited by:

  1. Duc Pham-Hi, 2012. "A Markov random model of interbank dynamics with filtering and adaptive learning techniques," EcoMod2012 4523, EcoMod.
  2. 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.
  3. Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Mathematical Methods of Operations Research, Springer, vol. 76(1), pages 21-41, August.
  4. 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.
  5. Nikolay A. Andreev, 2014. "On Linearity Of Transaction Costs In Order Driven Market," HSE Working papers WP BRP 38/FE/2014, National Research University Higher School of Economics.
  6. Sennewald, Ken & Wälde, Klaus, 2005. ""Ito's Lemma" and the Bellman equation for Poisson processes: An applied view," W.E.P. - Würzburg Economic Papers 58, University of Würzburg, Chair for Monetary Policy and International Economics.
  7. repec:spr:compst:v:76:y:2012:i:1:p:21-41 is not listed on IDEAS
  8. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
  9. 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.
  10. Fernando Durrell, 2006. "Optimum Constrained Portfolio Rules in a Diffusion Market," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 285-307.
  11. Duc PHAM-HI, 2005. "Operational risk management and new computational needs in banks," Computing in Economics and Finance 2005 355, Society for Computational 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. 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.
  14. Jouini, Elyès, 2001. "Arbitrage and control problems in finance: A presentation," Economics Papers from University Paris Dauphine 123456789/5590, Paris Dauphine University.
  15. 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.
  16. Felix J. Lopez-Iturriaga & Domingo Javier Santana-Martin, 2015. "Do Shareholder Coalitions Modify Dominant Owner's Control? The Impact On Dividend Policy," HSE Working papers WP BRP 41/FE/2015, National Research University Higher School of Economics.
  17. 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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