Reikvam, Kristin; Benth, Fred Espen; Karlsen, Kenneth … - In: Finance and Stochastics 5 (2001) 3, pp. 275-303
We study a problem of optimal consumption and portfolio selection in a market where the logreturns of the uncertain assets are not necessarily normally distributed. The natural models then involve pure-jump Lévy processes as driving noise instead of Brownian motion like in the Black and Scholes...