期刊论文详细信息
Revista Brasileira de Economia | |
Optimal consumption and investment with Lévy processes | |
José Fajardo Barbachan1  | |
[1] ,IBMEC Business School | |
关键词: Lévy processes; incomplete markets; | |
DOI : 10.1590/S0034-71402003000400008 | |
来源: SciELO | |
【 摘 要 】
We study the intertemporal consumption and investment problem in a continuous time setting when the security prices follow a Geometric Lévy process. Using stochastic calculus for semimartingales we obtain conditions for the existence of optimal consumption policies. Also, we give a charaterization of the equivalent martingale measures.
【 授权许可】
CC BY
All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License
【 预 览 】
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RO202005130018844ZK.pdf | 208KB | download |