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

Journal of Mathematical Economics

Volumn 35, Issue 2, 2001, Pages 233-257

  Framstad, Nils Chr ^a   Øksendal, Bernt ^a,b   Sulem, Agnès ^c  

^a UNIVERSITY OF OSLO   (Norway)

^b NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

^c INRIA   (France)

Author keywords

49L25; 60G51; 91B28; C44; C61; Consumption optimization; D81; D90; Free boundary problem; G11; Portfolio optimization; Transaction costs; Viscosity solutions

Indexed keywords

EID: 0038956074     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4068(00)00067-7     Document Type: Article

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