Since 2014
Optimal Consumption and Investment with Hyperbolic Lévy Motion
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Optimal Consumption and Investment with Hyperbolic Lévy Motion
Optimal Consumption and Investment with Hyperbolic Lévy Motion |
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| Creator |
Barbachan, José Fajardo; Universidade Católica de Brasília, BRAZIL
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| Subject |
Hyperbolic Lévy motion; Incomplete Markets .
G11 Hyperbolic Lévy motion; Incomplete Markets . G11 |
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| Description |
We solve the intertemporal consumption and investment problem in a continuous time setting assuming that the security prices follow a Hyperbolic Lévy Motion. Using Stochastic Calculus for Lévy processes, we give sufficient conditions for the existence of optimal consumption and investment policies.
Resolvemos a problema do consumo e investimento intertemporal num contexto de tempo contínuo, supondo que os preços dos ativos seguem um Processo de Lévy, denominado Movimento de Lévy Hiperbólico. Usando cálculo estocástico para Processos de Lévy, damos condições suficientes para a existência de políticas ótimas de investimento e consumo. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2000-05-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2773
10.12660/bre.v20n12000.2773 |
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| Source |
Brazilian Review of Econometrics; Vol 20, No 1 (2000); 27-54
Brazilian Review of Econometrics; Vol 20, No 1 (2000); 27-54 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2773/1696
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