Optimal Consumption and Investment with Hyperbolic Lévy Motion

José Fajardo ()

Brazilian Review of Econometrics, 2000, vol. 20, issue 1

Abstract: We solve the intertemporal consumption and investment problem in a continuous time setting assuming that the security prices follow a Hyperbolic Lévy Motion. Using Stochastic Calculus for Lévy processes, we give sufficient conditions for the existence of optimal consumption and investment policies.

Date: 2000
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