مرکز منطقه ای اطلاع رساني علوم و فناوري - Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

Title of article :

Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

Author/Authors :

Nils Chr. Framstad، نويسنده , , Bernt ?ksendal، نويسنده , , Agnès Sulem، نويسنده ,

Issue Information :

ماهنامه با شماره پیاپی سال 2001

Pages :

From page :

233

To page :

257

Keywords :

Portfolio optimization , Freeboundary problem , Consumption optimization , Viscosity solutions , Transaction costs

Journal title :

Journal of Mathematical Economics

Serial Year :

2001

Journal title :

Journal of Mathematical Economics

Record number :

155789

Link To Document :