Optimal Consumption and Investment with Hyperbolic Lévy Motion

Authors

  • José Fajardo Barbachan Universidade Católica de Brasília, BRAZIL

DOI:

https://doi.org/10.12660/bre.v20n12000.2773

Keywords:

Hyperbolic Lévy motion, Incomplete Markets .

Abstract

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.

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Published

2000-05-01

Issue

Vol. 20 No. 1 (2000)

Section

Articles