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Title:Optimal Investment and Consumption Strategies on Levy Financial Markets with Jumps Under Transaction Costs
Conference:FRCCS 2021
Tags:dynamical programming, financial markets, Hamilton-Jacobi-Bellman equation, Levy processes, optimal investment, optimal investment/consumption problem, power utility function, stochastic control, transaction cost and transaction costs
Abstract:
We investigate a portfolio optimization problem for financial markets described by exponential Levy processes with jumps. For power utility functions we find the optimal strategy in explicit form. Moreover, using this strategy and the Leland approach we develop asymptotic optimal investment and consumption methods for the financial markets with proportional transaction costs
Optimal Investment and Consumption Strategies on Levy Financial Markets with Jumps Under Transaction Costs
Optimal Investment and Consumption Strategies on Levy Financial Markets with Jumps Under Transaction Costs
