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Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs

Published:2002-01 Issue:3-4 Volume:74 Page:517-569
ISSN:1045-1129
Container-title:Stochastics and Stochastic Reports
language:en
Short-container-title:Stochastics and Stochastic Reports

Author:

Benth Fred Espen¹²,Karlsen Kenneth Hvistendahl³,Reikvam Kristin¹

Affiliation:

1. a Department of Mathematics , University of Oslo , P.O. Box 1053, Blindern, Oslo, N-0316, Norway

2. b MaPhySto--Centre for Mathematical Physics and Stochastics , University of Aarhus , Ny Munkegade, Århus, DK-8000, Denmark

3. c Department of Mathematics , University of Bergen , Johs. Brunsgt. 12, Bergen, N-5008, Norway

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/1045112021000037382

Reference53 articles.

1. On an Investment-Consumption Model with Transaction Costs

2. A singular stochastic control problem in an unbounded domain

3. Viscosity solutions of nonlinear integro-differential equations

4. Optimal consumption choice with intertemporal substitution

5. Backward stochastic differential equations and integral-partial differential equations

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