Optimal Consumption and Investment with Levy Processes

José Fajardo ()

No 1146, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: This 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.

Date: 2000-08-01
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Related works:
Journal Article: Optimal Consumption and Investment with Lévy Processes (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:wc2000:1146

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