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...

We consider an optimal portfolio-consumption problem which incorporates the notions of durability and intertemporal substitution. The logreturns of the uncertain assets are not necessarily normally distributed. The natural models then involve Lévy processes as driving noise instead of the more...