Optimal investment and consumption for financial markets with jumps under transaction costs
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00780-023-00521-1.pdf
Reference35 articles.
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3. Chouaf, B., Pergamenshchikov, S.M.: Optimal investment with bounded VaR for power utility functions. In: Kabanov, Y., et al. (eds.) Inspired by Finance, the Musiela Festschrift, pp. 103–116. Springer, Berlin (2014)
4. Delong, L., Klüppelberg, C.: Optimal investment and consumption in a Black–Scholes market with stochastic coefficients driven by a non-diffusion process. Ann. Appl. Probab. 18, 879–908 (2008)
5. De Vallière, D., Kabanov, Y., Lépinette, E.: Consumption-investment optimisation problem in a Lévy financial model with transaction costs. Finance Stoch. 20, 705–740 (2016)
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