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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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  • Framstad, Nils Chr. & Oksendal, Bernt & Sulem, Agnes, 2001. "Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 233-257, April.
    • Handle: RePEc:eee:mateco:v:35:y:2001:i:2:p:233-257
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    References listed on IDEAS

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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. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
    2. 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.
    3. Fernando Durrell, 2006. "Optimum Constrained Portfolio Rules in a Diffusion Market," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 285-307.
    4. Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-23, December.
    5. Duc PHAM-HI, 2005. "Operational risk management and new computational needs in banks," Computing in Economics and Finance 2005 355, Society for Computational Economics.
    6. Sennewald, Ken, 2005. "Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility," Dresden Discussion Paper Series in Economics 03/05, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    7. Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016. "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, vol. 20(3), pages 705-740, July.
    8. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
    9. 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.
    10. 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.
    11. Thai Nguyen, 2016. "Optimal investment and consumption with downside risk constraint in jump-diffusion models," Papers 1604.05584, arXiv.org.
    12. Sennewald, Ken & Wälde, Klaus, 2005. ""Itô's Lemma" and the Bellman equation: An applied view," Dresden Discussion Paper Series in Economics 04/05, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    13. 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.
    14. 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.
    15. Le Courtois, Olivier & Menoncin, Francesco, 2015. "Portfolio optimisation with jumps: Illustration with a pension accumulation scheme," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 127-137.
    16. 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.
    17. repec:spr:compst:v:76:y:2012:i:1:p:21-41 is not listed on IDEAS
    18. Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(1), pages 21-41, August.
    19. Hong Liu & Mark Loewenstein, 2013. "Market Crashes, Correlated Illiquidity, and Portfolio Choice," Management Science, INFORMS, vol. 59(3), pages 715-732, October.
    20. Valeri Zakamouline, 2004. "A Unified Approach to Portfolio Optimization with Linear Transaction Costs," GE, Growth, Math methods 0404003, EconWPA, revised 28 Apr 2004.
    21. Framstad, Nils Chr., 2014. "The Effect of Small Intervention Costs on the Optimal Extraction of Dividends and Renewable Resources in a Jump-Diffusion Model," Memorandum 25/2014, Oslo University, Department of Economics.
    22. repec:dau:papers:123456789/5590 is not listed on IDEAS
    23. Duc Pham-Hi, 2012. "A Markov random model of interbank dynamics with filtering and adaptive learning techniques," EcoMod2012 4523, EcoMod.
    24. repec:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500121 is not listed on IDEAS
    25. 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.

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