| 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 |