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

By N. C. Framstad, Bernt Øksendal, Agnès Sulem. 2001

123 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/936f03b54c5134385495577fbeb7a9bd5985ef28

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Citations in the corpus

Optimal Control Problem Associated with Jump Processes (2004, methodology): “As for stochastic models, there are extensive works by Hindy and Huang [17], Pham [29], Benth et al. [4]‐[6], and Framstad et al. [ 15 ].”
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (2003, methodology): “…Reikvam (2001a, 2001b, 2001c, 2002), Goll and Kallsen (2000), and Kallsen (2000), which model the risky asset as an exponential of a Lévy process, and Framstad, Øksendal, and Sulem (1999, 2001) who used a geometric stochastic differential equation driven by a Lévy process as stock price model.”
A “maximum principle for semicontinuous functions” applicable to integro-partial differential equations (2006, unknown): “, [1, 2, 3, 9, 8, 10, 17] and the references cited therein.”
Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility (2001, methodology): “Similar investment policy has been obtained by Framstad, Øksendal, and Sulem (2001) for a jump diffusion market.”
“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View (2006, background): “, Merton (1969, 1971) or Framstad et al. (2001)) and also in macroeconomics (see, e.”
CONTINUOUS DEPENDENCE ESTIMATES FOR VISCOSITY SOLUTIONS OF INTEGRO-PDES (2005, unknown): “, [1, 2, 3, 11, 12, 13, 27] and the references cited therein.”
Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility (2007, background): “Often, Poisson processes are included as a special case in a framework with jump-diffusion, piecewise deterministic or general Markov processes, see, e.g., Aase (1984), Bellamy (2001), Framstad et al. (2001), and, in a more mathematical context, Davis (1993) or Fleming and Soner (1993).”
On using shadow prices in portfolio optimization with transaction costs (2010, background): “in the finite horizon case [1, 9, 28], the case of multiple stocks [1] and stocks modelled as jump diffusions [ 12 ].”