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

Emmanuel Lépinette () and Tuan Q. Tran
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Emmanuel Lépinette: CEREMADE - CEntre de REcherches en MAthématiques de la DEcision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Tuan Q. Tran: Ryerson University [Toronto]

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Abstract: 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.

Keywords: Consumption-investment Problem; Transaction costs ·; Hamilton-Jacobi-Bellman equation; Viscosity solution; Lévy process (search for similar items in EconPapers)
Date: 2020
Note: View the original document on HAL open archive server: https://hal.science/hal-01103070v1
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Citations: View citations in EconPapers (1)

Published in Mathematics and Financial Economics, 2020, 14 (14), pp.399-431. ⟨10.1007/s11579-020-00260-3⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01103070

DOI: 10.1007/s11579-020-00260-3

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