Barbachan, Jose Fajardo: Optimal Consumption and Investment with Levy Processes
World Conference Econometric Society, 2000, Seattle

Jose Fajardo Barbachan, Catholic University of Brasilia
Optimal Consumption and Investment with Levy Processes
Session: C-8-21  Monday 14 August 2000  by Barbachan, Jose Fajardo
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.
Submitted paper full-text in .pdf


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