Optimal Consumption and Investment with Levy Processes

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.

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Year of publication:	2000-08-01
Authors:	Barbachan, Jose Fajardo
Institutions:	Econometric Society

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Extent:	application/pdf
Series:	Econometric Society World Congress 2000 Contributed Papers.
Type of publication:	Book / Working Paper
Language:	Slovenian
Notes:	The text is part of a series Econometric Society World Congress 2000 Contributed Papers Number 1146
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005328604